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

- By Alessandro Aimone
- @aimoneale
- 10 Jul 2018

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

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