The 2018 EBA/ECB stress test - Prometeia Insights

19 Apr 2018
Date submitted
19 Apr 2018
Resource type
White paper
File type
pdf PDF file (2.23M)
On January 31st, the European Banking Authority (EBA) and the European Systemic Risk Board (ESRB) released the macroeconomic scenarios for the EU-wide stress tests. Banks, as a result, are now required to estimate what the potential impact on their profits and capital may be under an adverse macro-financial scenario. However, these scenarios are more severe than previously outlined in 2016. This white paper focuses on examining the EBA-ECB scenarios. It further explores a possible approach to manage the sensitivities of risk parameters to these given scenarios.
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