Check out your newest toy: a do-it-yourself stress test for sovereign bond exposure at Europe’s largest banks.
A reader sent this to us, and we just can’t stop playing with it, and we’re pretty sure nobody else can either.
Just some notes on where all this data is coming from:
– Adverse scenario and core capital statistics are from the EBA stress tests conducted in July.
– Statistics on gross exposure to sovereign bonds are based on sovereign bond data circulating among investors. However, it’s been altered from those numbers slightly — we think to account for changes in bond assets since that data was collected at the end of 2010. We can’t verify this, though, so use your own judgment.
– The data in blue are banks’ sovereign bond holdings at the end of 2010, which correspond with this report from NCB Stockbrokers Ltd.
– The numbers in red decrease these exposures. We think this amounts for changes in bond holdings in the year to date.
To play with this yourself, open up the spreadsheet, and then click File > Make A Copy.
The yellow cells are the ones you should play with — plug in your predictions on all the PIIGS haircuts and enter your own capital requirement to see which banks can stand up to your own bank stress test.
Just to clarify — you’re going to have to make a copy (or download it) to alter the numbers yourself.