There is increasing debate on whether official-sector stress tests are fit for purpose and deliver what they are designed for. In the EU, this discussion focuses on the costs and benefits of such a large-scale bottom-up exercise and on the possible options to improve its usefulness for banks,...

This paper estimates the implicit capital requirements in the U.S. supervisory stress tests. Our results show that stress tests are imposing dramatically higher capital requirements on certain asset classes – most notably, small business loans and residential mortgages – than bank internal...

We analyse the SRISK measure with respect to its usage as a benchmark for the ECB/EBA 2014 stress test. By regressing the ECB/EBA stress test impact and the SRISK stress impact on a set of factors that are commonly associated with bank credit losses and bank vulnerability, we find that the...

The 2018 EU-wide stress test requires banks to evaluate the impact on profits and capital of common macroeconomic scenarios for 2018-2020. The methodology set up by the EBA addresses four main sources of uncertainty: credit risk, market risk, financial risks on net interest income and...

The new 2018 EBA EU-wide stress test exercise is similar to previous exercises for what concerns the employed methodology. The major change compared to the 2016 exercise is the inclusion of the new international accounting standards, which contributes to the increased severity of the exercise....

The new 2018 EBA EU-wide stress test exercise is similar to previous exercises for what concerns the employed methodology. The major change compared to the 2016 exercise is the inclusion of the new international accounting standards, which contributes to the increased severity of the exercise....

We provide an assessment of the design and calibration of the 2018 EU-wide stress test. The adverse scenario for the 2018 stress test is more severe than for previous stress tests in terms of the assumed GDP decline in the EU area. However, the test is less severe in terms of the losses that...

The 2018 EU-wide stress test requires banks to evaluate the impact on profits and capital of common macroeconomic scenarios for 2018-2020. The methodology set up by the EBA addresses four main sources of uncertainty: credit risk, market risk, financial risks on net interest income and...