Capital and Liquidity Requirements for European Banks
Edited by Bart P.M. Joosen, Marco Lamandini, and Tobias H. Tröger
Table of Contents
Introduction, Bart Joosen, Marco Lamandini, and Tobias Tröger
Part 1: ORIGIN AND CONTEXT OF CAPITAL REQUIREMENTS FOR EUROPEAN CREDIT INSTITUTIONS
1. Overview of Capital Adequacy Legislation in Europe, Christos Gortsos
Part 2: QUALITATIVE CAPITAL REQUIREMENTS
2. The Definition of Regulatory Capital Instruments, Marco Lamandini and David Ramos Muñoz,
3. 3 Direct Effect and Binding of European Regulation, Karl Philipp Wojcik
4. Qualitative capital requirements and their relationship with MREL/TLAC, Tobias Tröger
Part 3: QUANTITIVE CAPITAL REQUIREMENTS
5. The construction of the Total Risk Exposure Amount and the relationship with Combined Buffer Requirements, Bart Joosen
6. 6 Ordinary quantitative buffer requirements, the definition of default, loss distribution, expected and unexpected loss and provisioning, Bart Joosen
7. Credit Risk and Dilution Risk, Standardised and Internal Ratings Based Methods, Bart Joosen
8. Credit Risk Mitigation Techniques and Credit Risk Protection, Bart Joosen
9. Capital Treatment of Securitisations, Bart Joosen
10. Position Risk and Market Risk measures. Fundamental Review of the Trading Book, Umberto Cherubini
11. Capital Markets Transactions and Counterparty Credit Risk, Matthias Haentjens
12. Operational Risk in the capital requirements framework for banks, Bart Joosen
13. Capital Conservation Buffer, Countercyclical Capital Buffer, Dr. Katerina Lagaria
14. Capital buffers for systemically important banks and Systemic Risk Buffer, Tobias Tröger
Part 4: LIQUIDITY SUPERVISION AND REQUIREMENTS
15. Liquidity risk and its management: The LCR and NSFR, Willem Boonstra and Bruno de Cleen
16. Securitisation positions and covered bond positions as HQLA, Seraina Gruenewald
Part 5: SUPERVISORY REVIEW AND EVALUATION PROCESS AND PILLAR 2 CAPITAL
17. Internal Capital and Liquidity Adequacy Assessment, Purpose and Relation with Supervisory Engagement, Dalvinder Singh
18. Supervisory Review and Evaluation Process (SREP) in the Context of the Exercise of Supervisory Powers and Extraordinary Measures, Marco Lamandini and David Ramos Muñoz
19. Stress-testing in banking in the EU: Critical issues and new prospects, Pedro Duarte Neves, Lúcio Tomé Féteira, and Luis Silva Morais
Part 6: VI REPORTING AND DISCLOSURES
20. Reporting and disclosure requirements for smaller banks, application of the principle of proportionality, Christos Hadjiemmanuil
21. Applicable Accounting Principles, IFRS, Local GAAP and Compatibility with Prudential Reporting, Edgar Löw and Kevin Voigt