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    EBA Updates List of Risk Indicators and Risk Analysis Tools

    June 07, 2021

    EBA published an updated list of indicators for risk assessment and risk analysis tools, along with the accompanying methodological guide. This updated guidance is based on the EBA reporting framework version 2.10, describes how risk indicators are computed in the EBA publications, and allows competent authorities and users of EBA data to consistently interpret key bank figures when conducting their risk assessments and analyses. The updated list covers additional indicators on the topics of COVID-19 pandemic, funding plans, resolution, and remuneration; it also includes the updates to other indicators, which are used to better understand institutions' profitability, exposures to sovereign counterparties, and own funds requirements for operational risk.

    This guide fosters transparency on the computation methodology for the indicators used in the context of EBA official publications, such as EBA’s risk assessment report and EBA Risk Dashboard. The guide also enables other competent authorities to compute indicators following the same methodology and thus compare, in a consistent manner, indicators for different samples of banks and for the EU aggregates. The guide is structured into three parts. Part I includes risk indicators, depending on the type of risk addressed, for the categories of liquidity, funding, asset quality, profitability, concentration, solvency, operational, market and sovereign risk, COVID-19, funding plans, and remuneration as well as indicators on the dedicated category for small and medium enterprise (SME) monitoring. Part II presents indicators capturing different aspects of resolution monitoring while Part III discusses selective methodological issues that may arise when compiling or using the indicators and  detailed risk analysis tool.

    EBA has been collecting, since February 2011, on a quarterly basis, the statistical information referring to a sample of 55 banks across 20 European economic area countries, to compute 53 Key Risk Indicators. These are ratios providing early warning signs of trends, potential risks, and vulnerabilities in the banking sector in EU. In the same vein, a set of Detailed Risk Analysis Tools was developed. These tools go beyond the classical definition of indicators typically based on ratios. They use data visualization techniques to increase the analytical power extracted by their underlying data components.


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    Keywords: Europe, EU, Banking, Risk Analysis Tool, Risk Indicators, Reporting Framework 2.10, COVID-19, EBA

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