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Table 6. List of banks with capital shortfall under the alternative SRISK measure: market reactions Country Bank Capital Shortfall SRISK Capital Shortfall CAR Stocks (%) CAR Spreads (bp) AT Erste Group Bank 5.92 0 7.707** BE Dexia 21.35 .34 -3.907 BE KBC Group 5.26 0 .2305 CY Hellenic Bank Public Co. .17 .28 -1.312 DE Aareal Bank 1.56 0 .9000 DE Commerzbank 24.25 0 3.498 .6028 DE Deutsche Bank 76.59 0 .8935 3.481 ES Banco Bilbao Vizcaya Argentaria 5.61 0 .1066 ES Banco de Sabadell 4.33 0 .8446 -5.181 ES Banco Popular Espanol 3.69 0 3.231 ES Banco Santander 23.83 0 -.7634 ES Bankinter .45 0 -2.707 FR BNP Paribas 58.03 0 .5754 FR Societe General 49.48 0 -.6936 2.430 GR Alpha bank .15 0 -3.092 GR Eurobank Ergasias 2.47 4.63 5.820 GR National Bank of Greece .60 3.43 -5.157 GR Piraeus Bank 1.15 .66 4.733 IE Gov. Comp. Bank of Ireland 2.16 0 -3.100 IT Banca Carige 1.73 1.83 -12.34*** IT Banca Monte dei Paschi di Sienna 9.87 4.25 -9.329* -25.46 IT Banca Popolare dell'Emilia Rom. 1.88 .13 1.300 IT Banca Popolare di Milano 1.85 .68 -.6946 -.1556 IT Banca Popolare di Sondrio 1.02 .32 -2.036 IT Banco Popolare S.C. 5.53 .43 1.401 -21.87 IT Credito Emiliano .46 0 6.421* IT Intesa Sanpaolo 18.70 0 .6434 -4.431 IT Mediobanca 1.03 0 2.697 -6.566 IT UniCredit 30.36 0 -1.347 -8.592 IT Unione di Banche Italiane S.C. 3.88 0 -1.287 PT Banco BPI 1.12 0 3.075 PT Banco Comercial Portugues 2.70 1.14 2.699 Notes: ***, **, *, denotes significance at the respectively 1, 5, 10 percent level. This table shows market reactions to cumulative abnormal returns of listed banks in Acharya and Steffen (2014b) (Appendix 2) that do not pass the SRISK benchmark stress test using a (-1, +1) event window. The “Capital Shortfall” columns indicate the size of shortfalls (in billion €). Columns with “CAR” indicate the reaction of the stock (in %) and CDS markets (in bp) to the publication of the outcomes of the Comprehensive Assessment. Reported values are based on regular t-statistics. 18
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Page 1 and 2: DNB Working Paper Market reactions
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