stress tests

Methodological Note on 2016 EU Banking Sector Stress Tests published by European Banking Authority

The European Banking Authority published a Methodological Note on the 2016 EU banking sector stress tests and asset review on 24 February. The note covers credit risk; market risk, counterparty credit risk (CCR) and credit value adjustment (CVA); conduct risk and other operational risks; and non-interest income, expenses and capital. There are four tabular annexes: a list of banks in the sample; stress test template overview; summary of qualitative information to be provided by banks; and a summary of key constraints and other quantitative requirements. The EBA Methodological Note has been linked from the EUI Library ECB data resource page. EUI members have access to the Bankscope (BvD) global public and private banking sector database.

European banking sector stress test data released by European Central Bank

The results of the European banking sector asset quality review and stress tests were published, with data, on 26 October. The aggregate report covers 130 banks in 19 countries (Euro area plus Lithuania, due to join in January 2015). The assessments cover 81.6% of banking assets to be regulated by the ECB under the Single Supervisory Mechanism from November this year. The exercise identified a capital shortfall of €24.6 billion across 25 European banks (Table 1, p.10). Detailed data files and country reports are on this ECB page. The ECB has released a YouTube video explaining the data categories used in the ‘Aggregate Report on the Comprehensive Assessment.’ The webcast of Sunday’s press conference is at this link.