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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.

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Harsh scenarios

Recession simulations run by the Federal Reserve to gauge banks’ resilience to the coronavirus crisis projected much higher losses than the worst-case scenario used by the agency in its latest round of stress tests. The severely adverse scenario used in the Dodd-Frank Act Stress Tests, results for which were released on June 25, projected a peak-to-trough fall in banks’ aggregate Common Equity Tier 1 (CET1) capital requirements of 210 basis points. The three alternate coronavirus scenarios, in contrast, projected maximum CET1 ratio depletions ranging from 250bp to 430bp.

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