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Prometeia's Insights: The 2018 EBA/ECB stress test

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.