Deutsche’s stress-testing models are surprisingly accurate

For the second year in a row, Deutsche Bank’s projected performance in the annual Dodd-Frank Act stress tests was precisely in line with the Fed’s estimates.

On average, the internal models of foreign banks subject to DFAST diverged from the Fed’s estimates of their stressed Common Equity Tier 1 capital ratios, under the severely adverse scenario, by 112 basis points in 2019, and 300bp in 2018. DB USA stood out from the pack: its projections were right on the mark both years. 

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