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Capital and Liquidity Requirements for European Banks

Capital and Liquidity Requirements for European Banks

Author: Bart P.M. Joosen; Marco Lamandini; Tobias H. Tröger
Publisher: Oxford University Press
ISBN: 9780198867319
Published In: March 2022
Format: Hardback
Jurisdiction: U.K. ? Disclaimer:
Countri(es) stated herein are used as reference only

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Contents

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Part of the Oxford EU Financial Regulation Series, this book analyses the harmonised legislative framework for capital adequacy and liquidity supervision in the Single Rule Book for European banks. It brings together leading experts in the field of prudential banking regulation and accounting to provide an in-depth analysis of the regulatory framework.

Capital and Liquidity Requirements for EU Banks goes far beyond the existing rules and standards, not only by looking into the historical realisation of the European Single Rule Book (SRB) for capital adequacy and liquidity supervision, but also by going deeply into the background of the standards put forward by the Basel Committee for Banking Supervision, the global rule-maker for the financial sector. The insights provided into the historical and normative background are essential in order to facilitate a more constructive interpretation of the extensive rules of the SRB The book also delivers a deeper understanding of the various policy choices that Europe has made in the transposition of the Basel standards.

An important reference source for all legal practitioners and scholars researching European financial regulation, this new volume provides an extensive representation of the key topics, affording the reader unique insights into the interrelation and the interplay of the various prudential rules and standards in Europe.

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

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