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Άσκηση Προσομοίωσης Ακραίων Καταστάσεων για τον Ελληνικό Τραπεζικό Τομέα 2013
Citation preview
2013
:
2014
. 21 102 50
. +30 210 320 5103 Fax +30 210 320 5419
: www.bankofgreece.gr
165(8) . 4099/2012 ( 250A).
ISBN : 978 - 960 - 7032 - 60 - 7
- 2013
2014 3
I .
1.
,
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,
()
(), -
,
,
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.
.
2012 2013 -
,
( ATEbank -
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. ,
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2013.
2013,
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(), ,
Alpha Bank Eurobank,
2012
3864/2010
38/2012.1
-
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1 . , - , - 2012. 2 3,1 . - .
robank
(). ,
.
, -
,3 -
-
.4 ,
-
90% -
-
.
,
-
2013, -
,
-
2013.5 -
,
, -
3 First Business Bank Probank, - , -. - ATEbank, Millennium Bank, Geniki Bank. Alpha Bank Emporiki Bank , - . Eurobank Proton Bank . 4 , - 2012. 5 , .
- 2013
2014 4
,
(European Banking Authority EBA),
, ,
.6
-
-
-
. ,
BlackRock Solutions Rothschild.
-
, -
(. 95%
-
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-
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-
, -
BlackRock (. -
-
),
-
-
(. IV
).
6 . 2013.
2.
-
,7
-
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/ / .
-
-
2013,8 -
(. I.1).
-
/ / . , -
, -
,
, ,
,
, :
26%
2008-2015
(-
29%).9
7 - BlackRock Asset Quality Review and Credit Loss Projection Methodology (March 2014). 8 , Country Report No. 13/241 Fourth Review under the Extended Arrangement, 2013. 9 Reinhart C. and Rogoff K., This time is different: Eight centuries of financial folly, Princeton University Press, Princeton and Oxford, 2009.
- 2013
2014 5
-
2012 ( -
)
2020.
3.
2013
BlackRock,
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-
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2013.
, BlackRock -
,
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2011,
2013 :
-
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.
10 , . BlackRock Asset Quality Review and Credit Loss Projection Methodology (March 2014).
,
-
,
,
.
:
(i) -
(Troubled Assets Review TAR)
-
, , -
-
-
.11
11 2013 - . , - // [- ] 2013 - - .
I.1
( %)
2013 2014 2015 2016 2013 2014 2015 2016
-4,2 0,6 2,9 3,7 -4,8 -2,9 -0,3 1,0
-
-6,8 -0,7 0,8 2,0 -7,4 -4,2 -2,4 -0,7
27,0 26,0 24,0 21,0 27,1 27,0 26,0 23,0
1 -0,8 -0,4 0,3 1,1 -1,1 -0,9 -0,4 0,4
-12,5 -6,2 -2,0 0,0 -13,6 -12,1 -8,5 -4,2
-10,5 -6,7 -1,4 -0,7 -15,0 -11,8 -8,6 -4,8
: , , . 1 ().
- 2013
2014 6
, -
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90 .
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.
.
(ii) T -
(Asset Quality Ratio
AQR) -
,
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.
-
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. -
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,
(on-Performing Loans NPLs).
-
: () -
()
, -
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.
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47%
-
, BlackRock -
.
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, -
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.
BlackRock -
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.
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.
(iii) T
(Credit Loss Projec-
tions CLPs) -
-
2013 -
( 2013- 2016)
,
.
- 2013
2014 7
-
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.
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TAR
AQR -
, .. -
,
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.
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(CLPs)
-
.
(CLPs)
(
) , -
.
,
(CLPs)
(on a when realised basis) -
. -
, BlackRock -
-
,
-
- 2013
2014 8
(CLPs)
(on a default basis).
(iv) T
(Foreign Loan Book FLB)
-
-
, -
, -
. -
70% -
.
, BlackRock
94%
.
BlackRock
,
. ,
BlackRock
(Probability of Default) -
(Loss Given Default)
, -
2013. -
, BlackRock
-
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12 , , , , - , .
4. TOY OY
-
-
(CLPs) -
(. -
).
, BlackRock -
-
-
:
-
, (i)
(ii)
.
-
,
.
-
BlackRock. , -
-
BlackRock -
.
-
,
(CLPs)
top-down -
-
-
- 2013
2014 9
()
-
-
2011. -
,
BlackRock (
FLB, -
) .
, -
,
.
5.
-
2013
, -
Rothschild. -
-
,
-
-
13 2013- -
2016 (. IV
), :
(Core Tier 1 ratio
CT1 ratio) 8% ,
(CT1 ratio) 5,5%
.
-
13 Core Tier 1 Common Equity Tier 1 -.
2014
. ,
-
2014. -
(DTAs),
, -
2011 (. -
DTA 20%
-
DTA -
).
,
-
-
2014.
.
-
bottom-up
.
-
2013- 2016, -
-
(DG Comp).
, -
( -
- 2013
2014 10
-
).14
,
2013, -
.15
-
-
(. IV.1 -
):
: -
(CLPs)
2013-
2016 (i) -
(ii) ,
-
.
: -
-
2013-
2016
.
,
-
(CLPs)
:
14 - 2014. 15 20% .
-
, -
BlackRock
(on a when realised
basis)
2013
2016 (. -
).
-
,
(.
)16
(
DG Comp).
-
2013-
2016.
,
-
:
-
30 -
2013,
,
.
16 - , - 15%.
- 2013
2014 11
-
1:1.
,
.
, -
,
2016 :
95%
, -
BlackRock -
85% -
,
52%17 -
, -
BlackRock
2016 .
,
-
.
,
-
. -
-
-
-
( 2016) -
100%
-
BlackRock.
91%.
17 75% 52% .
-
2011
-
.
(. -
)18
-
2013 -
67%
-
.
,
-
-
:
-
, -
-
.
-
, -
(
BlackRock).
-
-
BlackRock.
18 48,3% 2013 46,2% 2011.
- 2013
2014 12
,
-
.
,
-
(ELA),19 -
.
,
FLB, -
, -
,
-
.
19 . - .
, ,
, -
,
-
. -
, , -
-
20%
. ,
-
-
.
I.1 ( 2013 2016, )
(. )
: .
- 2013
2014 13
2013.
, -
2016,
(Risk Weighted Assets
RWAs).
-
,
-
2014. -
-
.
-
-
6,4 . (. .1
.2).
-
-
-
2013 .
-
2014
-
.
I.2 ( 2013- 2016, )
(. )
1
- - - (. 2013) (1)
- - (. 2013)
(2)
CLPs 2 (3)
CLPs 3 (4)
4 (5)
- 8% (. 2016) (6)
- - (7)=(6)-(1)-(2)-(3)-(4)-
(5)
Alpha 7.380 10.416 -14.720 -2.936 4.047 4.450 262
Eurobank5 2.228 7.000 -9.519 -1.628 2.106 3.133 2.945
6 4.821 8.134 -8.745 -3.100 1.451 4.743 2.183
8.294 12.362 -16.132 -2.342 2.658 5.265 425
225 403 -888 0 106 243 397
- 61 66 -237 0 -26 31 169
23.009 38.380 -50.241 -10.005 10.341 17.866 6.382
: . 1 ABB, Credicom . 2 CLPs 11. 3 CLPs 8 10. 4 2013- 2016, . 5 Eurobank 2013 pro forma Proton ( 1,7 .) - 2013. 6 2013 pro forma FBB Probank.
- 2013
2014 14
6.
,
-
,
-
-
-
(..
-
, -
, ,
,
..),
.