Concentration risk is one of the specific risks required to be assessed as part of the Pillar 2 framework set out in the Capital Requirements Directive (CRD). Aspects of concentration risk are mostly dealt with within the Pillar 2 framework under Articles 123, 124, Annex V and Annex XI of the CRD.
The Committee of European Banking Supervisors (CEBS) has published draft guidelines on aspects of the management of concentration risk under the supervisory review process under Pillar 2. The draft guidelines update the guidelines on technical aspects of the management of concentration risk under the supervisory review process published on 14 December 2006 and complement the principles set out in the CEBS guidelines on the application of the supervisory review process.
In the draft guidelines CEBS is taking a broader approach to concentration risk management and suggests that it is not sufficient to analyse concentration risk only within a risk type but that the analysis of concentration risk across risk types is also necessary, including credit, market, operational and liquidity risks.
The deadline for comments on the draft guidelines is 31 March 2010. A public hearing will be held on 12 March 2010 at CEBS premises in London.
View CEBS draft guidelines on concentration risk, 11 December 2009