Guidelines on the management of concentration risk under the supervisory review process

These Guidelines have been repealed and the topic has been incorporated into the EBA Guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing.

These Guidelines follow a holistic approach which aims at ensuring sound overall concentration risk management; this means that institutions are expected to identify and assess all aspects of concentration risk, moving further away from the traditional analysis related only to intra-risk concentration within the credit risk. The guidelines are structured into five major sections. The first provides the definition of concentration risk and its two-fold focus on intra- and inter-risk concentrations (Section 2). Section 3 deals with general principles for management of concentration risk while the Section 4 addresses aspects of concentration risk management specific to particular risk areas (credit, market, operational and liquidity risks) and Section 5 provides underpinnings for the supervisory review and evaluation.