Comparability of EBA stress tests questioned

The ability of banks to use their own internal models for determining stressed PDs and LGDs mean the results will not be comparable, bankers claim

Variations in models for determining credit losses will mean the results of a European Banking Authority (EBA) stress test will not be comparable, say bankers involved in the process.

The test of 90 European banks and European-based subsidiaries of foreign banks, due to be published this month, will apply a specific downturn scenario to a static balance sheet over the course of two years to produce expected regulatory capital numbers. Large and complex institutions are required to use their