lunedì 21 giugno 2010

It is not rocket science! E se gli stress test sono troppo poco stressanti?

Leggevo poco fa un articoletto sul Wall Street Journal di qualche giorno fa che commentava l'incredibile dimensione assunta dai derivati e da come la maggior parte di questi fossero in possesso di banche commerciali:
Right now, U.S. banks, mostly a few giants, have $276 trillion in over-the-counter derivatives, instruments that don't trade on exchanges. Most of these derivatives are within commercial-bank subsidiaries that enjoy federal deposit insurance. Thus, the banks effectively enjoy a government subsidy that likely distorts prices and allows them to hold too little capital against the derivatives. 
La questione preoccupa (giustamente) molti e numerose sono le proposte per la creazione di mercati regolamentati per la maggior parte di questi prodotti. Ma la sorpresa è venuta leggendo i commenti all'articolo: infatti ne ho trovato uno di Vernon Smith! Eccolo: It is not rocket science. Derivatives are securities, and should have been, and now should be, registered, listed and subject to reserve requirements....Vernon L. Smith, Chapman University

 Ancora dal Wall Street Journal un articolo esamina la decisione europea di rendere pubblici i risultati degli stress test bancari (decisione condivisa dall'87% dei lettori del WSJ), cosa che dovrebbe avvenire entro la fine di luglio, almeno per i 25 maggiori istituti europei (inclusa dunque Unicredito e Banca Intesa). Ma saranno stati abbastanza severi? Scrive il WSJ:  European authorities, though, have had a particularly knotty problem to resolve. It concerns what stresses the banks should be tested for and how much of that should be disclosed. In the U.S. exercise, authorities examined the impact on the banks' balance sheets of a serious downturn in the economy, and the consequent rise in variables such as unemployment and bad mortgage loans. To be credible, however, European bank stress tests will need to contemplate eventualities that governments don't want to admit are possible, such as defaults on Greek, Portuguese and even Spanish debt. Over the past year, those worries came to the fore among European policymakers, officials said. But the bulk of the opposition came from Germany, whose Landesbanken share the main spotlight of market worry with Spain's regional savings banks, or cajas.
Germany's main banking associations have expressed vehement opposition to publishing stress tests, claiming markets might "misinterpret" the results, and arguing that German law requires banks' consent before disclosing stress-test results. The German government said Thursday it plans to seek banks' consent, but a finance-ministry official said a change in the law is also possible if banks don't cooperate.
Spain's intention to publish its own results left Germany with little choice but also to show its cards, one European official said, lest it be seen as having something to hide.
While the stress tests may shore up confidence, they come with their own costs. The heaviest: What to do with banks that fail the exam. Most European countries are now racing to embrace a newfound philosophy of fiscal prudence to ward off concerns about their own deficit and debt levels. Shelling out for pricey bank rescues would imperil those efforts.

Sull'argomento torna oggi il WSJ con un commento dai torni piuttosto scettici:

European leaders may have hoped to draw a line under Europe's sovereign crisis by agreeing to publish individual bank stress-test results. But that may be easier said than done. There are three questions that matter when stress-testing banks: Which are being tested? What is being tested? And what will be done with the results? It isn't clear that what is being contemplated will provide convincing answers to any of them.
What the leaders appear to have agreed on—and there are mixed messages across Europe over this—is to publish bank-by-bank results of a stress test currently being conducted by the Committee of European Bank Supervisors. But if that is all they have got to offer, it isn't going to convince anyone. This particular test covers about 25 of the largest European banks, excluding the majority of Spanish and German savings banks whose potential capital deficits most worry the markets.
Nor is it likely to be particularly stressful. Like the last CEBS stress test in 2009, it is based on average European growth and asset prices scenarios that don't take account of national variations. The criteria are less demanding than those applied by some national regulators, including the U.K.'s Financial Services Authority, being based on a plausible scenario rather than a worst-case one, according to someone familiar with the process.
Finally, it isn't clear that CEBS will be able publish bank-by-bank results even if it wants to since it is against European law for regulators to divulge data gathered from banks that they supervise.

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