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Commission should make ECB reference authority for macro-prudential supervision

art noveau door bxlOn Wednesday 27 May [2009], the European Commission is to present the principles of the structure for the new financial supervision in Europe.

European Parliament - High Level Conference "Towards a New Supervisory Architecture in Europe"

Charlie McCREEVY European Commissioner for Internal Market and Services Keynote Speech

QUOTATION (CONCLUSION): Let me be clear: it was the joint impact of both macro and micro factors that resulted in the market excesses and the emergence of unprecedented systemic risks that we have experienced in recent times. There is, therefore, a fundamental need to strengthen both the micro- and macro-prudential pillars. And we should do this in a way that achieves valuable synergies and has a mutually reinforcing impact on overall financial stability.

The Point About Stress Tests

 

This morning I could be back at school or University, reading this; "City traders are braced for turmoil in UK financial sector stocks this week, when the Federal Reserve releases results of health checks on 19 US banks on Thursday. At least two big banks are believed to have failed the "stress tests"." from here: the Herald.

 

Rethinking the financial network

BoE Coin Logo

Speech delivered at the Financial Student Association, Amsterdam, 28th April 2009

by

Andrew G Haldane, Executive Director, Financial Stability, Bank of England

 

Bernanke proposes Systemic Risk Authority

The US needs an overarching regulatory authority to prevent a repeat of risks building up unchecked across the financial system and exploding into economic crisis, Ben Bernanke said on Tuesday. He said the financial crisis, which had seen huge risks building up in lightly regulated institutions, had revealed the weakness of fragmented regulation.

“We must have a strategy that regulates the financial system as a whole, in a holistic way, not just its individual components,” he said. “In particular, strong and effective regulation and supervision of banking institutions, although necessary for reducing systemic risk, are not sufficient by themselves to achieve this aim.”

Macroeconomic Models of the Euro area at the European Central Bank

 

see intro text box : August 2012 : point of order : August 2012;   " the '@ the ECB' predicate in the title is more than a little redundant & 'wears' as time goes on but I am stuck with it; the ECB does move with the times, particularly after the Trichet speech in Clare College, Christmas 2009 & one can even begin to see DG ECFIN lumber towards modernity also; the historical lesson below still retains relevance however .. "

 

I noticed an inocuous looking little text box on the enormous European Central Bank (ECB) website, it describes four approaches to macroeconomic modeling going on at the European Central Bank, the first thing that strikes one is just how elderly the methodological underpinning is.

That does not by defintion mean that the approach in this modelling is weak or flawed or anything like that at all but it may entail that when a commercial financial institution is looking for a methodological guide for stress testing or asset valuation, these methodologically elderly models may not be the best blueprint for them. This is particulalry so currently where what could be described as a 'Logical Positivist' approach needs to be adopted in Stress Testing and Asset Valuation problems. By this I mean the 'partial equilibrium' or purely statistical methods deployed simply to quantify risk or economic capital or fair value. In this context I thought it might be useful to look briefly at the 4 macroeconomic models referenced on the ECB site and summarise what these models are doing and what their objective is.

Academic & Central Bank Papers on the topic of Risk Management

amazing goddess

This Review should constitute an interesting repository for anyone out there interested in the latest ideas and the best thinking in the risk management space, as selected by me over the last three months. I would recommend each of these as an improtant contribution to the process of improving risk management in banking generally;-

see the comment box below for a reference to a genuinely seminal paper;-

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