How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
A European watchdog has proposed a shake-up to the way it stresses banks’ trading portfolios to discourage them from gaming requirements to lower projected losses.
The change, if enacted, would affect the forthcoming 2020 European Banking Authority (EBA) stress tests by using a floating start date for the market risk shock, rather than the fixed year-end date as in previous rounds. This is intended to prevent “window dressing”, whereby firms offload risky positions ahead of the start date to
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