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Capital and Liquidity Requirements for European Banks

Edited by: Bart P.M. Joosen, Marco Lamandini, Tobias H. Tröger

ISBN13: 9780198867319
Published: March 2022
Publisher: Oxford University Press
Country of Publication: UK
Format: Hardback
Price: £215.00



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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.

Subjects:
Banking and Finance
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

Series: Oxford EU Financial Regulation

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