21 March 2019

EBA updates methodological guidance on risk indicators and analysis tools

The primary purpose of this Guide is to serve EBA compilers of risk indicators and internal users presenting risk indicators and Detailed Risk Analysis Tools (DRATs). In addition, it thus provide guidance on indicators’ concepts, data sources (i.e. precise ITS data points involved in their calculation), techniques upon which they are computed, and clarity on methodological issues that may assist in their accurate interpretation and use.

Furthermore, this Guide fosters transparency on the computation methodology, with regard to those indicators used in the context of the EBA official publications, such as the EBA’s risk assessment report and the EBA Risk Dashboard. Most importantly, it informs the general public on how these indicators are computed.

Last but not least, this Guide enables other competent authorities to compute indicators following the same methodology, and thus compare, in a consistent manner, indicators for different samples of banks, as well as for the EU aggregates.

However, it has to be noted that this Guide is not intended to bind competent authorities and hence, it is not mandatory, but only aims at supporting computation of indicators, consistent with the EBA publications. Naturally, some of the indicators listed will follow closely the regulatory definitions as laid down in the Capital Requirements Regulation (CRR) and Capital Requirements Directive IV (CRD IV).  In addition, the regulatory standards agreed by the Basel Committee on Banking Supervision also serve as an important source of inspiration for many other proposed indicators.

The Guide is a living document and, therefore, it may evolve periodically, reflecting new experiences and user needs or changes in EU supervisory reporting (i.e. ITS on supervisory reporting).  

The Guide is structured in two parts. Part I presents the risk indicators by means of an introduction, along with a description of each of them, and concludes with a short reference to relevant methodological concerns, when those arise. Consequently, each risk indicator has been allocated either to one of the following nine categories, depending on the type of risk addressed (namely liquidity, funding, asset quality, profitability, concentration, solvency, operational, market and sovereign risk) or to the dedicated category for SME monitoring. Each of these categories has a dedicated chapter in Part I. 

Finally, Part II discusses selective methodological issues that may arise when compiling or using the risk indicators and DRATs.

Full guide

© EBA