TAILIEUCHUNG - EUROPEAN BANKING AUTHORITY 2011 EU-WIDE STRESS TEST AGGREGATE REPORT

Tham khảo sách 'european banking authority 2011 eu-wide stress test aggregate report', tài chính - ngân hàng, ngân hàng - tín dụng phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | tk European Banking Authority European System of Finandal Supervision EUROPEAN BANKING AUTHORITY 2011 EU-WIDE STRESS TEST AGGREGATE REPORT 15 July 2011 Executive summary The stress test exercise. The 2011 EBA s EU wide stress test had the objective of assessing the resilience of a large sample of banks in the EU1 against an adverse but plausible scenario. The scenario assesses banks against a deterioration from the baseline forecast in the main macroeconomic variables such as GDP unemployment and house prices - for instance GDP would fall 4 percentage points from the baseline. The scenario includes a sovereign stress with haircuts applied to sovereign and bank exposures in the trading book and increased provisions for these exposures in the banking book. Changes in interest rates and sovereign spreads also affect the cost of funding for banks in the stress. The stress testing methodology which was published by the EBA on March 18th 20112 3 entails a static balance-sheet assumption and also does not allow the banks to take actions to react to shock. The resilience of the banks is assessed against a benchmark defined with reference to capital of the highest quality -Core Tier 1 CT1 -- set at 5 of risk weighted assets RWA . Context. The stress test exercise is a general macro-economic scenario across all countries in the EU. The results shed light on the sensitivities of the European banking sector to a general economic downturn and movements in external variables such as interest rates economic growth and unemployment. The stress test does not directly capture all possible outcomes of the current sovereign crisis which is rightly being handled by relevant fiscal authorities but the transparency of this exercise is designed to provide investors analysts and other market participants with an informed view on the resilience of the EU banking sector. The process. The exercise has been conducted in a constrained bottom-up fashion by the 903 banks whose results are .

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