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Stress Tests - A New Modeling Paradigm & a Pragmatic Approach

I have been reviewing the papers from a recent conference;-

The ESRB at 1

SUERF/Deutsche Bundesbank/IMFS Conference

& I think there is a crystallisation of a theme at that conference reflected in one particular presentation which articulates a narrative that we have been developing here on asymptotix in regard to Stress testing over the last 2 or 3 years.

EURIBOR RIGGING: the context & incentive. “lack of understanding is absolutely no excuse”

In December 2008 financial market liquidity (in Europe) disappeared altogether, vanished according to the ECB FSR June 2010 . For monetarists like me this massive disappearance precedes & probably causes the massive GNP collapse of 3 quarters later; visually the 2 collapses have close to identical shapes.

Political Economy: Social Democracy in Europe: The Commission and the European Banking System

wire man

 

version TWO

edited 4th July 2012

 

 

 

 

What the hell is going on with our economy in Europe since whatever that is, it underpins our level of activity; our level of social engagement our socio political locus does it not?

 

One cannot avoid, when living in BXL now and again picking up a history book about Schuman[1] or Delors[2] and the various grand plans which developed to drag "the EU" from the Coal and Steel union huddles in Irish bars, cigar smoke and beef prices; to this monster of power which we have today.

I have been extremely critical of the performance of the EU in the financial crisis here on this website. The crisis facing special units of the EU megalith made some howling mistakes in crisis management.

 

this link probably will not stick ECFIN changes its website so frequently

 

It has become obvious recently that senior EU personnel really do not understand how banking and financial markets function. (reference) The disaster that was the EBA (& its predecessor CEBS) speaks to that clearly!

ECB The euro, its central bank ?and economic governance

Stamp Memorial Lecture by Jean-Claude Trichet, President of the ECB at the London School of Economics and Political Science London, 13 June 2011

Global liquidity: a view from Basel

Jaime Caruana

General Manager, Bank for International Settlements

International Capital Markets Association Annual General Meeting and Annual Conference

Paris, 26 May 2011

The European Banking Authority (EBA) publishes details of its stress test scenarios and methodology

The European Banking Authority (EBA) today published documents explaining the scenarios and methodology for its 2011 EU-wide stress test, which will be applied on a wide sample of European banks covering over 60% of total EU banking assets.

The EU-wide stress test is a supervisory tool designed to assess the resilience of European banks to hypothetical external shocks. The stress test assesses what might happen to banks if external circumstances deteriorate markedly and helps to identify vulnerabilities and relevant remedial action, including strengthening capital levels where this is needed.

The legislative response to the crisis in the European Union

At the European Union level, the legislative response to the crisis has been generally slower than in the United States for four main reasons. First, legislative proceedings are structurally slow in the European Union because of the complex interaction between the EU level and 27 sovereign states.

ESRB European Systemic Risk Board holds inaugural meeting

The General Board of the European Systemic Risk Board (ESRB) held its inaugural meeting today at the European Central Bank (ECB) in Frankfurt am Main.

The European Banking Authority (EBA) plans second round of bank stress tests - looks to US for advice

The European Banking Authority (EBA) has agreed on a strategic plan for a second European Union (EU)-wide stress test to assess the resilience of Europe's banking sector.

 

The tests, which aim to analyze the ability of banks to react to hypothetical stressed situations, are expected to be conducted in the first quarter of 2011. The results will be published in June or July. The tests will be carried out in cooperation with the national supervisory authorities, the European Systemic Risk Board, the European Central Bank and the European Commission. They will run parallel to stress tests undertaken by the European Insurance and Occupational Pensions Authority as part of the framework designed by the European System of Financial Supervision. According to EBA, the methodology and approach taken in this year's test will build on that used in the 2010 stress test. Last year's EU stress tests were criticized for not being stringent enough because lenders in the 27-nation region were shown by regulators to need only $4.6bn of new capital, about a 10th of the lowest analyst estimate.

The European Banking Authority up and running and preparing new EU-wide stress test

The EBA elected its decision-making bodies

The European Banking Authority (EBA) officially came into being on 1 January 2011, taking over all existing and ongoing tasks and responsibilities from the Committee of European Banking Supervisors (CEBS). The EBA yesterday convened its first Board of Supervisors meeting.

At its inaugural gathering on 12 January 2011, the Board of Supervisors, as the main EBA decision-making organ, elected the EBA Chairperson, the EBA Alternate Chairperson and the members of the EBA Management Board.

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