Stress-test trading losses out of sync with banks’ market risk

Trading and counterparty losses triple those implied by banks’ market RWAs

Bank trading losses estimated under the Federal Reserve’s annual stress tests were more than three times higher than the amount implied by their market risk-weighted assets, Risk Quantum analysis shows.

Data from this year’s Dodd-Frank Act stress tests (DFAST) show that 43% of total losses projected under the severely adverse stress scenario across 12 of the largest participants were due to trading and counterparty risks. However, market RWAs represent just 13% of total RWAs on average 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 or view our subscription options here:

You are currently unable to copy this content. Please contact 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 View our subscription options

You need to sign in to use this feature. If you don’t have a 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