Is the Comprehensive Assessment able to capture banks' risks?

We evaluate the Comprehensive Assessment by analysing the database made available by the European Central Bank. We show that the capital deficit of a bank identified by the Comprehensive Assessment is positively related to a market-based risk measure of the bank, such as its historical volatility, and that the post-adjustment leverage ratio, but not the pre-adjustment leverage ratio or the risk-weighted capital ratio, is related to it. These results show that the Comprehensive Assessment captures banks' riskiness and that the leverage ratio is a better indicator than the risk-weighted capital ratio.