The EU Stress Test and Sovereign Debt Exposures:
This working paper's quantifications show that most sovereign debt is held on the banking books of banks, whereas the EU stress test considered only their small trading book exposures. It discusses why sovereign debt held in the banking book cannot be ignored by investors and creditors, because...
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| Main Author: | |
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| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Paris
OECD Publishing
2010
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| Series: | OECD Working Papers on Finance, Insurance and Private Pensions
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| Subjects: | |
| Online Access: | Volltext |
| Summary: | This working paper's quantifications show that most sovereign debt is held on the banking books of banks, whereas the EU stress test considered only their small trading book exposures. It discusses why sovereign debt held in the banking book cannot be ignored by investors and creditors, because of: (a) recovery values in the event of individual bank failures; and (b) fiscal sustainability and structural competitiveness issues which mean the market cannot give a zero probability to debt restructurings beyond the period of the stress test and/or the period after which the role of the European Financial Stability Facility Special Purpose Vehicle (EFSF SPV) comes to an end. How the SPV could operate to shift sovereign risk from banks to the public sector is also an important part of the discussion |
| Physical Description: | 1 Online-Ressource (13 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/5km7vxjwzhd4-en |
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| spelling | Blundell-Wignall, Adrian Verfasser aut The EU Stress Test and Sovereign Debt Exposures Adrian Blundell-Wignall and Patrick Slovik Paris OECD Publishing 2010 1 Online-Ressource (13 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Working Papers on Finance, Insurance and Private Pensions This working paper's quantifications show that most sovereign debt is held on the banking books of banks, whereas the EU stress test considered only their small trading book exposures. It discusses why sovereign debt held in the banking book cannot be ignored by investors and creditors, because of: (a) recovery values in the event of individual bank failures; and (b) fiscal sustainability and structural competitiveness issues which mean the market cannot give a zero probability to debt restructurings beyond the period of the stress test and/or the period after which the role of the European Financial Stability Facility Special Purpose Vehicle (EFSF SPV) comes to an end. How the SPV could operate to shift sovereign risk from banks to the public sector is also an important part of the discussion Finance and Investment European Union Slovik, Patrick ctb https://doi.org/10.1787/5km7vxjwzhd4-en Verlag kostenfrei Volltext |
| spellingShingle | Blundell-Wignall, Adrian The EU Stress Test and Sovereign Debt Exposures Finance and Investment European Union |
| title | The EU Stress Test and Sovereign Debt Exposures |
| title_auth | The EU Stress Test and Sovereign Debt Exposures |
| title_exact_search | The EU Stress Test and Sovereign Debt Exposures |
| title_exact_search_txtP | The EU Stress Test and Sovereign Debt Exposures |
| title_full | The EU Stress Test and Sovereign Debt Exposures Adrian Blundell-Wignall and Patrick Slovik |
| title_fullStr | The EU Stress Test and Sovereign Debt Exposures Adrian Blundell-Wignall and Patrick Slovik |
| title_full_unstemmed | The EU Stress Test and Sovereign Debt Exposures Adrian Blundell-Wignall and Patrick Slovik |
| title_short | The EU Stress Test and Sovereign Debt Exposures |
| title_sort | the eu stress test and sovereign debt exposures |
| topic | Finance and Investment European Union |
| topic_facet | Finance and Investment European Union |
| url | https://doi.org/10.1787/5km7vxjwzhd4-en |
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