DFAST market shock accounts for a quarter of big bank losses

Large US banks complain that the global market shock (GMS) component of the Federal Reserve’s annual stress tests is monstrously harsh. Risk Quantum analysis shows they have good reason to gripe. In 2019, projected trading and counterparty losses – those caused by the GMS – accounted for 25.1% of the total losses estimated for lenders subject to the scenario. 

Aggregate trading and counterparty losses projected by the Fed for the 11 banks tested by the GMS in 2019 were $88.1 billion. Their

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