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This edited volume offers an in-depth analysis of an important but technical area of law: capital and liquidity requirements for European banks. The volume complements the volume on the European Banking Union in our series.
The book is grouped in a thematic way, covering the following areas: (i) origin and context of capital requirements for European banks; (ii) qualitative capital requirements; (iii) quantitative capital requirements; (iv) liquidity supervision and requirements; (v) supervisory review and evaluation process and Pillar 2 capital; and (vi) reporting and disclosures.
Part I discusses the historical evolution of bank capital requirements in the EU.
Part II considers the definition of Common Equity Tier 1 Capital and of Contingent Capital, as well as the use of EU regulations to establish qualitative requirements in the fields of banking supervision and resolution.
Part III addresses the construction of the total risk exposure amount and the relationship with the combined buffer requirements, the definition of default, loss distribution, expected and unexpected loss and provisioning in the context of credit risk, credit risk weighting, credit risk mitigation techniques and credit risk protection. It also analyses the capital treatment of securitisations, position risk and market risk measures, netting and credit risk mitigation, fundamental review of the trading book, operational risk in the capital requirements framework for banks, the capital conservation buffer and countercyclical capital buffer, and capital buffers for systemically important banks.
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