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4min chapter
What's Happening In Global Macro?
The Macro Trading Floor
The Effects of European Banks on Interest Rate Risk
Europe does a stress test on the interest risk that banks run overall at a balance sheet level and already there it was visible that the median bank would take about a 5% drawdown in capital from a 200 basis point increase in interest rates. The analysis show that European banks are better regulated and they did their homework better on hedging Overall Schnabel today put out a chart where they were testing over a hundred banks and she has a distribution of outcomes and you can really see that the Median bank loses about 5% 6%.
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