Information Value in EU-Wide Bank Stress Test

25 Pages Posted: 13 Feb 2020

Date Written: January 20, 2020

Abstract

The paper starts with an evaluation of the banks’ solvency information disclosed in the 2018 and 2016 EU-wide stress tests, asking do they add value to the information available in the bank capital ratios observed at the start of the stress exercise? It argues that information from price-to-book, degree of imperfect information on the value of assets and relative holding of domestic government bonds all require a bank-specific approach in the supervisory review and evaluation process (SREP) exercise. In short, one size does not fit all.

Keywords: European banking, stress test

JEL Classification: G21, G28

Suggested Citation

Dermine, Jean, Information Value in EU-Wide Bank Stress Test (January 20, 2020). Available at SSRN: https://ssrn.com/abstract=3522463 or http://dx.doi.org/10.2139/ssrn.3522463

Jean Dermine (Contact Author)

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 60 72 41 33 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
20
Abstract Views
123
PlumX Metrics