EBA Guidelines on Stressed Value At Risk (Stressed VaR) EBA/GL ...

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IV.Accompanying documentsa. Feedback on the public consultation and on the opinion of theBSG1. The European Banking Authority (<strong>EBA</strong>) officially came into being on 1 January2011 and has taken over all existing and ongoing tasks and responsibilities fromthe Committee of European Banking Supervisors (CEBS).2. On 16 November 2011, the draft <strong>Guidelines</strong> on Stressed VaR were presented tothe <strong>EBA</strong>’s Banking Stakeholder Group (BSG). The BSG provided broad commentsand suggestions, to be considered by the <strong>EBA</strong>, when finalizing the <strong>Guidelines</strong> 6 .3. On 30 November 2011, the <strong>EBA</strong> submitted the draft <strong>Guidelines</strong> on Stressed Valueat Risk (Stressed VaR) for public consultation. The consultation period ended on15 January 2012. Ten responses were received 7 . In addition, a public hearing washeld on 13 December 2011 at the <strong>EBA</strong>’s premises in London, to allow interestedparties to share their views with the <strong>EBA</strong>.4. The responses to the consultation paper were generally positive and supportive of<strong>EBA</strong>’s work and required only some clarification; however, on some paragraphs inthe consultation paper, the majority of the respondents disagreed or requestedsignificant clarification.5. A detailed account of the comments received and the <strong>EBA</strong>´s responses to them isprovided in the feedback table below. The feedback table is divided betweengeneral remarks and specific comments received from respondents and includes asection with <strong>EBA</strong>’s point of view on them and the changes made in the finalguidelines to address them.6. In some cases, several respondents made similar comments. In such cases, thecomments, and <strong>EBA</strong>’s analysis of them are included in the section of the detailedpart of this paper where <strong>EBA</strong> considers them most appropriate.6 A summary of the discussion with the BSG has been published on the <strong>EBA</strong> website in the BSG meetings andminutes section (November 2011 meeting).7 The public responses to CP 48 have been published on the <strong>EBA</strong> website together with the consultation paper.18
Feedback table on CP 48: analysis of the responses and suggested amendmentsThe first column of the feedback table makes reference to the terminology and paragraph numbering used in the CP on Draft<strong>Guidelines</strong> on Stressed Value at Risk. The last column refers to the terminology and numbering in the final <strong>EBA</strong> guidelines.CP 48 Summary of comments received The <strong>EBA</strong>’s response Amendmentsto theproposals<strong>Guidelines</strong> on Stressed Value at RiskGeneral CommentsStatus GLThe status of the guidelines is not clear. Whilethe paper referred to as ‘guidance’ thewording in their scope and level of applicationis more consistent with rules-based regulation.Furthermore there are examples in the paperwhere it would be difficult for a firm to complywith both the national rules and guidance andthe <strong>EBA</strong>'s proposed guidelines.Competent authorities have a legal requirement tonotify the <strong>EBA</strong> if they comply or intend to comply withthe guidelines within two months after publication. Inorder to maximize harmonization between competentauthorities and Member States, the <strong>EBA</strong> has chosen towrite the guidelines in a more rules-based manner.No change.Timing GLThe timing of <strong>EBA</strong>'s guidelines areunfortunate.Most banks have already submitted detailedmodel documentation for approval and oftenreceived approval under existing national rulesand guidance. Where the final <strong>EBA</strong> guidelinesdiffer from the BCBS guidance and/or nationalrules and guidanceand banks are obliged toAs the competent authorities have been involved whiledrafting the guidelines well before the publication of theconsultation paper and institutions’ model approvals, the<strong>EBA</strong> expects that the competent authorities havefollowed the <strong>EBA</strong> guidelines as much as possible whenapproving models and does not expect that institutionswill have to substantially change models to comply withNo change.19
Page 1 and 2: EBA Guidel
Page 3 and 4: I. Executive SummaryThe amendments
Page 5 and 6: The guidelines presented in this pa
Page 7 and 8: ContentsIII. EBA <
Page 9 and 10: VaR calculations (which would also
Page 11 and 12: ange of potential historical period
Page 13 and 14: C. Stressed VaR methodology10. Cons
Page 15 and 16: 9. In terms of calibration to marke
Page 17: historical data series should be ap
Page 21 and 22: can be achieved if the US moves ahe
Page 23 and 24: Para 6.8more distant past. Since th
Page 25 and 26: the need for an ex-post notificatio
Page 27 and 28: concern for us. We feel that this w
Page 29 and 30: the other hand it means that VaR an
Page 31: V. Confirmation of compliance with

EBA Guidelines on Stressed Value At Risk (Stressed VaR) EBA/GL ...

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