Europe's New Supervisory Toolkit: Data, Benchmarking and Stress Testing for Banks and their Regulators - Risk Books
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Europe's New Supervisory Toolkit: Data, Benchmarking and Stress Testing for Banks and their Regulators

Edited By Mario Quagliariello


For Europe’s New Supervisory Toolkit editor Mario Quagliariello (Head of the Risk Analysis Unit at the European Banking Authority) has gathered a group of contributors from the heart of the European regulatory and supervision industry, all of whom provide the reader with in-depth description of some of the most advanced supervisory tools used for assessing banks.

Publish date: 21 Dec 2015

Availability: In stock

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Book - Europe's New Supervisory Toolkit: Data, Benchmarking and Stress Testing for Banks and their Regulators

Book description

Europe’s New Supervisory Toolkit contains the most up-to-date details of European supervisory reporting, explanations by senior regulators of the latest techniques for benchmarking of internal models and stress testing, a description of the tools, methods and practices used to assess financial stability in the EU banking sector, and best practice for cooperation among authorities and for transparency and disclosure.

This is a must-read for understanding banking supervision and risk assessment in a post-crisis world.

Chapters include:

  • Risk Assessment in the EU
  • The Single EU Supervisory Reporting
  • Towards Consistent Risk Indicators
  • EU-wide Stress Test:
  • Credit Risk
  • Market Risk
  • The Analysis of Funding Plans
  • Transparency and Market Discipline

Book details

Publish date
21 Dec 2015
155mm x 235mm

Editor biography

Mario Quagliariello

Mario Quagliariello is currently the Head of Unit - Risk Analysis at the European Banking Authority (EBA), responsible – among other things – for regular risk assessment and stress testing. He is the Chair of the EBA Task Force on Macroprudential Matters and of the Task Force on Supervisory Benchmarking. He also coordinates the work of the Stress Test Methodological Task Force. He previously served as a senior economist in the Regulation and Supervisory Policies Department of Banca d’Italia, the Italian central bank. He has been the representative of Banca d'Italia in a number of international working groups dealing with financial stability issues at the ECB, CEBS, IMF and the Basel Committee for Banking Supervision. His interests concern macroprudential analysis and stress tests, Basel III and procyclicality, the economics of financial regulation.

Mario has published several articles in Italian and international journals, including the Journal of Banking and Finance, the Journal of Financial Services Research, the Journal of International Financial Markets, Institutions and Money, Applied Economics, Applied Financial Economics, SUERF Studies and Risk. He edited the volume Stress Testing the Banking System: Methodologies and Applications, published by Cambridge University Press and co-edited the volume Basel III and Beyond: A Guide to banking regulation after the Crisis published by RiskBooks. He holds a Ph.D. in economics from the University of York (United Kingdom).

Table of contents

  • Introduction - Mario Quagliariello
  • Risk Assessment in the EU - Piers Haben
  • The Single EU Supervisory Reporting - Meri Rimmanen
  • The EU Harmonised Definition of Non-performing Exposures: Origins, Main Features and Possible Improvements - Remi Boutant
  • Towards Consistent and Effective Risk Indicators - Dimitrios Laskos and Antonio Sánchez Serrano
  • Data Workflow: From Quality Checking to Risk Dashboards - Gaetano Chionsini and Luis Garcia
  • EU-wide Stress Tests: Rationale and Basics - Piers Haben and Mario Quagliariello
  • EU-Wide Stress Test: Methodology - Javier De Diego and Benjamin Friedrich
  • Macrofinancial Scenarios for System-wide Stress Tests: Process and Challenges - Jérôme Henry
  • Benchmarking of Credit Risk Models For Determining Own Funds Requirements - Paolo Bisio; Samuel Da-Rocha-Lopes; and Aurore Schilte
  • Benchmarking of Market Risk Models For Determining Own Funds Requirements - Federico Cabañas and Lars Overby
  • The Analysis of Funding Plans: Benjamin Friedrich and Pilar Gutierrez
  • Transparency and Market Discipline: Remi Boutant and Dragan Crnogorac; Andrea Resti


  • The Post-crisis Regulatory Regime and Bank Business Models - David T. Llewellyn

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