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dc.contributor.author
Tsiatoura, Alexandra
en
dc.date.accessioned
2015-06-04T08:41:35Z
dc.date.available
2015-09-27T05:56:43Z
dc.date.issued
2015-06-04
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/182
dc.rights
Default License
dc.title
2010- CEBS EU Bank Stress Tests
en
heal.type
masterThesis
heal.language
en
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
heal.recordProvider
School of Economics, Business Administration and Legal Studies, Executive MBA
heal.publicationDate
2011-01
heal.bibliographicCitation
Tsiatoura Alexandra , 2011, 2010- CEBS EU Bank Stress Tests, Master's Dissertation, International Hellenic University
en
heal.abstract
This report is a methodical approach of the banking stress tests which were exercised in June 2010 to European banks by the Committee of European Banking Supervisors (CEBS). This test focuses mainly on market and credit risks as well on sovereign debt exposure of European banks. It also checks the European banks for capital adequacy. This reports starts with familiarize the reader with the flow of the project, what is going to be done, the aims and objectives. Briefly it can be stated that the report overall explains how exactly the test were exercised by CEBS and it presents and critically discusses the results of the exercise. The report continuous with a general description of the stress test worldwide; why stress test have become necessary in today‟s financial world and what micro and macro implications the cause. In addition the reader is offered a lot of interesting Literature Review which offer various streams of thinking of very noticeable authors and economic magazines. Due to the fact that the topic of the report is very recent only economic articles are provided. The report goes on by seeing in dept the CEBS stress test procedure. The participating banks are presented, the benchmark and adverse scenario, the probabilities of default and loss given default, as well as sovereign bond haircut. At the same time table illustrated results on country levels are offered and discussed. To go on the result of the CEBS stress test are discussed and which banks failed. The Tier 1 capital ratio which is indicated for banks‟ capital adequacy is also introduced. Furthermore an interpretation is given what these results mean for the European and especially for the Greek banking system.At the closure of the report critique is given about the necessity and the objectivity of the CEBS banking stress test in June 2010 and suggestions of improvements are given. Furthermore at the back, the report is enriched with the references used to utilize the work as. Next to the references Appendixes are provided, with a lot of tables which are discussed throughout the project and give the reader plenty information for better understanding the content.
en
heal.tableOfContents
Acknowledgements ............................................................................................................... 1 Executive Summary .............................................................................................................. 2 1. Introduction - Aims & Objectives of the study ........................................................... 6 a. What is going to be done? .............................................................................................. 6 b. Why are we doing this research? .................................................................................... 6 c. Who is likely to be interested? ....................................................................................... 7 d. What exactly is the problem and what is the use of this research?................................... 7 2. Stress Tests background .............................................................................................. 9 a. Stress Test Necessity ..................................................................................................... 9 b. What micro and macro implications have the stress test?.............................................. 11 3. Literature Review ...................................................................................................... 12 a. Anatomy of distress in European banks before and during the crisis ............................. 13 b. Without Rx for capital, EU fails test for stress tests ...................................................... 14 c. Crash-test dummies ..................................................................................................... 15 d. EU 100bn Armageddon or EU 30 bn joke? Banks face moment of truth. ...................... 17 e. Fitch says EU bank stress tests to prove funding conditions remain major issue. .......... 18 f. US stocks worsen after EU stress test results ................................................................ 18 g. EU stress test underplayed debt risks ........................................................................... 19 4. EU 2010 Bank Stress Test, by CEBS......................................................................... 20 a. Background Information .............................................................................................. 20 b. Risk scenarios and assumptions parameters ................................................................. 21 c. Benchmark Scenario .................................................................................................... 22 d. Adverse Scenario ......................................................................................................... 23 e. Probabilities of Default and Loss Given Default .......................................................... 25 f. Sovereign bond haircuts............................................................................................... 26 International Hellenic University 2010 – CEBS EU Bank Stress Tests EMBA – Dissertation Project Page | 5 5. Stress Test Results ......................................................................................................... 28 a. Results - A wider picture ............................................................................................. 28 b. The next step for banks which failed the test ................................................................ 29 c. Is the European banking sector safe at last?.................................................................. 30 d. What about Greek banks? ............................................................................................ 31 6. Giving critique on the CEBS EU 2010 bank stress test ............................................ 35 a. Do the stress tests actually help? .................................................................................. 35 b. Should they be repeated? How can they be improved? ................................................. 37 7. Conclusions ................................................................................................................ 39 8. List of References ...................................................................................................... 40 9. Appendixes................................................................................................................. 41
en
heal.advisorName
Prof Levis, Mario
en
heal.committeeMemberName
Prof. Levis, Mario
en
heal.committeeMemberName
Kosmidou, Kyriaki
en
heal.academicPublisher
School of Economics and Business Administration, Executive MBA programme
en
heal.academicPublisherID
ihu
heal.numberOfPages
41
heal.fullTextAvailability
true


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