Improving Banking Supervisory Mechanisms
In the OIC Member Countries
15
Market Risk
The EBA, through the publication of its guidelines intend to increase convergence in the
implementation of some of these new capital requirements, namely the Stressed Value at Risk
(stressed VaR) and the Incremental Risk Charge (IRC). In addition, Expected Shortfall, rather
than Value at Risk seemed to be the right measure to be used in regulatory purposes.
Stress Testing
Between February and June/July 2014, the ECB has examined the asset side of the balance
sheets of the 124 banks, which was based on harmonized definitions of non-performing
exposures and forbearance. The potential coverage of this review is very wide, including all
risk types and exposures, both on- and off-balance sheet.
As a conclusion, after the crisis both US and European banking supervisors are extremely
active for implementing various new measures. OIC countries need to watch these new
changes, as some of these changes can be market standard in the near future.