eba_exposures_2020: Exposure data of 123 European banks which took part in the...

In Martin-Summer-1090/syslosseval: Provide data and functions to support the analysis in Systemic Loss Evaluation

Description

A dataset containing the exposure data of 123 European banks who took part in the EBA transparency exercise 2020. The actual number is 128 but we dropped five entities from the dataset because there were data problems. The data are compiled from a raw data set. The script of compiling the data from the raw data can be inspected by editing the file make_balance_sheets_2020.R in the raw-data folder of the syslosseval package source code.

Usage

eba_exposures_2020

Format

A data frame with 5628 rows and 11 variables:

LEI_code

LEI_code, legal entity identifyer of a bank.

Country_code

Country_code, ISO-code of the country where the bank is domiciled

Bank_name

Bank_name, Name of the bank

Period

Period, Reporting period of the data given as 201912 (31. December 2019)

Country

Country, Country to which the bank is exposed. This is either a ISO code like AT, DE etc. or it is called Total if it is the overall exposure aggregated across all countries, or there are special abbreviations which are further explained in the EBA metadata in the raw-data folder. They are not relevant for our analysis and not described further here.

Exposure

Asset class according to the IRB classification scheme

Loan_Amount

Loan_Amount, the exposure value in Million Euro held in the form of loans

Bond_Amount

Bond_Amount, the exposure value in Million Euro held as bonds

Total_Amount

Total_Amount, the exposure value as the sum of loan and bond amount in Million Euro

Unit

Unit, the units of Loan_Amount, Bond_Amount, Total_Amount

Currency

Currency, the currency of Loan_Amount, Bond_Amount, Total_Amount

Source

https://eba.europa.eu/risk-analysis-and-data/eu-wide-transparency-exercise

Martin-Summer-1090/syslosseval documentation built on Dec. 17, 2021, 3:14 a.m.