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18 December 2015

EBA consults on draft Guidelines on stress testing

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The Guidelines set out expectations for institutions' stress testing programmes and seek improvements by drawing on lessons from previous stress test exercises. In addition, they aim at promoting convergence of the use of stress testing in the context of the SREP.

The proposed Guidelines, addressed to both institutions and competent authorities across the EU, provide guidance that institutions should follow when designing and conducting their stress testing programmes. In addition, they describe the range of supervisory stress tests and support competent authorities in their qualitative assessment of stress testing programmes as well as in the use of stress test quantitative outcomes for the implementation of the supervisory review and evaluation process (SREP).

The Guidelines also provide greater detail on issues that have gained importance, including liquidity risks, conduct risk and litigation costs, FX lending risks, business models, data aggregation, and the use of reverse stress testing.

To assist in fostering a common understanding of the range of stress tests and to help set the appropriate context in view of future European Banking Authority (EBA) stress tests, a stress testing taxonomy is included and a description of different types of supervisory stress test exercises is provided.

These guidelines complement the EBA SREP Guidelines by providing guidance on the use of supervisory stress testing by competent authorities, describing different forms and objectives, the aspects related to the organisation, resources, methodologies, and the use of the outcomes when assessing capital and liquidity adequacy under the SREP.

The EBA expects to publish the final guidelines in Q2 2016.

Comments to this consultation can be sent to the EBA by 18 March 2016. A public hearing will then take place at the EBA premises on 29 February 2016 from 14:00 to 16:30 UK time.

Press release

Consultation paper


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