The Spanish authorities present the results of this excercise as two stress test reports (by Oliver Wyman & Roland Berger) & one independent assessment of those ST excercises by Promontory Group.

Further in the Spanish authorities statement is a presentation of the process for the detailed audit of the Spanish banking sector's overall exposure.

THE SEQUENCE OF EVENTS ON ASYMPTOTIX

SECRETS LIES & SMOKE AND MIRRORS

Bayesian Methods in
Portfolio Credit Risk Management
A dissertation submitted to the
SWISS FEDERAL INSTITUTE OF TECHNOLOGY
ZURICH
for the degree of
Doctor of Sciences
presented by
JONATHAN ERIK PURVIS WENDIN
MSc. Engineering Physics KTH
born 17 April 1978
citizen of Sweden
accepted on the recommendation of
Prof. Dr. Alexander J. McNeil, examiner
Prof. Dr. Peter L. Bühlmann, co-examiner
Prof. Dr. Philipp J. Schönbucher, co-examiner

Europe bank's exposure to the eurozone debt crisis has increased to €300bn (£263bn).

The epicenter of sovereign risk has been Greece, which generated the first of four waves of spillover to European banks. The analysis suggests that, first, spillovers on European bank exposures to the Greek sovereign have amounted to almost €60 billion (Figure 1.17). Second, as sovereign risks spread to other governments, the spillovers to banks have mounted. If the sovereign stresses in Ireland and Portugal are included, the total spillover rises to €80 billion. Third, the governments in Belgium, Italy, and Spain have also come under market pressure; incorporating credit risks from these sovereigns into the analysis further raises the total estimated spillover, to about €200 billion. Fourth, bank asset prices in the high-spread euro area have fallen in concert with sovereign stresses, leading to a rise in the credit risk of interbank exposures; including those exposures increases the total estimated spillover to €300 billion overall. Although these numbers are based on market assessments of credit risk, which may reflect a degree of overshooting, the underlying problems that they highlight are real.