FVA, correlation, wrong-way risk: EU stress test’s hidden gems

The results of Europe’s bank stress tests caused few ripples when they were published at the end of October. Some interesting results were buried in the data, though – on trading exposures, correlation positions, wrong-way risk and the hidden costs of trading with some sovereigns

italy-s-ministry-of-economy-and-finance
Italy's MInistry of Economy and Finance

CLICK HERE TO VIEW THE ARTICLE IN FULL

There is a wealth of data in the EU-wide stress test results published on October 26, but only one number made the headlines – the 25 banks that failed to meet a 5.5% minimum Tier I capital ratio under the test's worst-case scenario. The other 105 banks in the exercise were more or less ignored, as were most of the up-to-12,000 data points each bank disclosed.

But the neglected data contains a host of fascinating details – some packing a real punch. For

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here