????????????????? ????????????? ???????? CIIA

1
?? ???? ?????? ??????

• ??????? ????????
• ????????????? ??? ???-?????
• ???????? ?? ?????-??????????
• ????????????????? ????????????? ???????? CIIA
• 9 ???????? 2011 ????

2
??? ????????? ???? ??????????

• ????? ???????? ????????? ??????? ?????????
• ??? ?????? ???? ?? ???????????
• ????????????? ????? ???????????? (??? ???????
  ????????????)
• ??? ????????????? ?????? ????? ????? ??????????
  ?? ??????

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Market failure - ? ???????????? ???? ????
????. ??????

• ???? ? ?????? ?????? ??????? ??? ? ???????
  ???????? ???
• ? 2010 ??????? ??????????? ???????? ? ???????
  ???????? ??????? ?????????
• ???????. ?????? ?? ????????? ????????, ?????
  ??????, ???????????? Euro Lehman Moment
• ???????-?????. ?????? ?? ??????????, ?????
  ?????????? ???????

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V-???????? ??????????
5
???? ?????????? ??????
6
(No Transcript)
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(No Transcript)
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China PMI ??????? ?? 28 ???????
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(No Transcript)
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(No Transcript)
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???????? ????????? ?????

• 2008/2009 Gloom and Doom
• ?????? 2010 recovery
• ????? ? ???? 2010 ??????, double dip
• ????? 2010 ??? ???????? QE-2
• ?????? 2011 ???? QE works magic? ??????
  ????????????? ???? ? ????, ?????? ????????? ??
  ??????
• ?????-???? 2011 ?????? redux, ??????????
  ????????? Soft Patch?
• ??????-???????? ???????, CEO Deutche Bank
  ???????? ?????????? 2008

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(No Transcript)
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?????????? ?????? ???????????
14
??????????? ??????? new credit crunch?
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????????????? ?????????? t-bills
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(No Transcript)
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??????????? ??? ?? ?????????
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?????? ???????? ??????
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Commerzbank AG
P/E2.1 P/BV0,37
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????????? ??????-???? ??, 15 ???? 2011
21
????? ?? ????!
Eight banks would fall below the 5 benchmark,
with an overall shortfall of EUR 2.5 bn. 5
Spanish, 1 Greek, 2 Austrian 16 banks show CT1R
in the range of 5-6.
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???????? ?????????? ?????????????
???????????????????????? 630 ????. ???????????
630 ????., ?????? 1.8 ????.

• 
  
• 2010
  2009 2008 2007
• 
  ---------------- Belgium ----------------
• GDP Market Prices 352,324
  339,162 345,006 335,085
• Govt Deficit(-)/Surplus() -14,355
  -19,981 -4,345 -1,033
• Govt Deficit(-)/Surplus() / GDP -4.1
  -5.9 -1.3 -0.3
• Govt Expenditure of GDP 53.1
  54.1 50.1 48.4
• Govt Revenue of GDP 48.9
  48.1 48.8 48.1
• Govt Debt 341,019
  326,371 309,191 282,106
• Govt Debt of GDP 96.8
  96.2 89.6 84.2
• ---------------- Ireland
  ---------------
• GDP Market Prices 153,939
  159,645 179,989 189,374
• Govt Deficit(-)/Surplus() -49,903
  -22,795 -13,196 128
• Govt Deficit(-)/Surplus() / GDP -32.4
  -14.3 -7.3 0.1
• Govt Expenditure of GDP 67.0
  48.2 42.8 36.7
• Govt Revenue of GDP 34.6
  33.9 35.5 36.8
• Govt Debt 148,074
  104,782 79,837 47,361
• Govt Debt of GDP 96.2
  65.6 44.4 25.0
• 
  ---------------- Germany ----------------

2010 2009 2008
2007 ------------------ France
--------------- GDP Market Prices
1,947,576 1,907,145 1,948,511 1,895,284
Govt Deficit(-)/Surplus() -136,525
-142,540 -64,299 -51,557 Govt
Deficit(-)/Surplus() / GDP -7.0
-7.5 -3.3 -2.7 Govt Expenditure
of GDP 56.2 56.2 52.9
52.4 Govt Revenue of GDP
49.2 48.7 49.5 49.6 Govt Debt
1,591,169 1,492,746
1,318,601 1,211,563 Govt Debt of GDP
81.7 78.3 67.7
63.9
------------------ Italy ---------------- GDP
Market Prices 1,548,816
1,519,702 1,567,761 1,546,177 Govt
Deficit(-)/Surplus() -71,211
-81,741 -42,705 -23,541 Govt
Deficit(-)/Surplus() / GDP -4.6
-5.4 -2.7 -1.5 Govt Expenditure
of GDP 50.5 51.8 48.8
47.9 Govt Revenue of GDP
46.0 46.5 46.1 46.4 Govt Debt
1,843,015 1,763,864
1,666,603 1,602,115 Govt Debt of GDP
119.0 116.1 106.3
103.6
---------------- Portugal --------------- GDP
Market Prices 172,546
168,610 171,983 169,319 Govt
Deficit(-)/Surplus() -15,783
-17,039 -6,081 -5,333 Govt
Deficit(-)/Surplus() / GDP -9.1
-10.1 -3.5 -3.1 Govt Expenditure
of GDP 50.7 49.8 44.7
44.4 Govt Revenue of GDP
41.5 39.7 41.1 41.1 Govt Debt
160,470 139,945
123,108 115,587 Govt Debt of GDP
93.0 83.0 71.6 68.3
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?????? ?????????
24
??????? ??????

• IMF EU ???? ????? 750 ????. ????????
  ??????????, ???????? ? ?????? (1?2?) ??????????
  ????? ????? ????? ??????.
• ?????? ??????????? ?????? ????? ???????? ?? 2.6
  ????., ????? ??????? ???????? ??????????????
  ??????, ???????, ??????? ? ??????? ?? 2014 ????
  ????? ????? ??????????? ??? ???????? ?????????
  ???????? ?? ????? ??????? ????????.

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?????? ?????? ? ??????-??????

• Under the adverse scenario losses would be
  approximately EUR400bn in the two year horizon of
  the exercise. This would amount to having the
  same amount of losses registered in 2009, the
  worst year for the banking industry, for two
  years in a row
• adverse scenario entails a severe deviation of
  GDP growth from the baseline (-4 in the two
  years)

26
?????????? ???? 11.5 ???????

• To address the potential underestimation of risk
  for sovereign debt held
• . expected loss based on a probability of
  default linked to external ratings. For example,
  the lowest rating that is not a default for
  Fitch, Standard and Poors and Moodys
  (CCC-equivalent) would imply, making a simplified
  assumption based on corporate loss rate data, a
  probability of default of 36.15. The EBA
  suggested that a loss given default (LGD) of 40
  was appropriate for the purposes of this stress
  test.
• This would mean that for the lowest rated non
  default bond, with a value of 100, banks would be
  asked to hold now an expected loss amount of
  around 15, or 15 of their total holdings.
• Total provisions for sovereigns in the exercise
  stands at some EUR 11.5bn.

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?????????? ??????
28
?????????? ???? ?????? ??????? ????????
29
?????????? ??????-?????? ??????? ?
??????????????? ????????????
http//stress-test.eba.europa.eu/ http//economics
intelligence.com/2011/07/18/eba-stress-test-piigs-
exposure-for-all-90-banks/
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????? ??????? ? ????? T.A.R.P. ?

• ??? ????????? ??????????? ??????? ?????? ??
  200 (287 billion) ?????? 2.5 ?? EBA
• ????????????? ???? ??????? ??????????? ?????
  ?????? ???????. ????? ?????? ???? ?????????? ??
  ?????????? ?????????
• ??? ????? (??????, ????????, ???????) ?? ?????
  ??????? ???????????? ?? ?????????? ?????????
  ????? ??????
• The European Banking Authority main bail-out
  vehicle (ESFS) should be allowed to invest
  directly in banks

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?????????? ?????????? ?????? ??????? 2007-2011
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Euro Non-optimal currency zone

• ? ????? ????????? ??? ??????? ??????, ?????
  ??????????? ????????
• Das Geht Nicht ??? ?????????? ?????????? ?
  ???????? ?????? ???????????? ?????? ?? ??????

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???????? Celtic Tiger


2010 2009 2008
2007 ----------------
Ireland --------------- GDP Market Prices
153,939 159,645 179,989
189,374 Govt Deficit(-)/Surplus()
-49,903 -22,795 -13,196 128 Govt
Deficit(-)/Surplus() / GDP -32.4
-14.3 -7.3 0.1 Govt Expenditure
of GDP 67.0 48.2 42.8
36.7 Govt Revenue of GDP
34.6 33.9 35.5 36.8 Govt Debt
148,074 104,782
79,837 47,361 Govt Debt of GDP
96.2 65.6 44.4 25.0
????? ??????? ?????? ???????????? ??????????
??????, ????????? ?????????? ??? ???????? ??
???????? ???????? ? ??????? ????????? The
Financial Accelerator and the Credit Channel
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????????? ????????? ??????

• In the case of the sovereign debt of Ireland and
  Portugal it is also home-country banks that are
  majority holders (61 Ireland and 63 Portugal)

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?????????? ????????????
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Too big to save

• ??? ??? ????? ???? ?????? ?? ??????? ???????? ?
  ????????

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????? ????? ???? ????? ?? market failure?

• ??????? ?????? ? ???????? ?? ????? ????? ?? ???
• ????? ????????? ?? ??, ??? ????? ???????
• ????? ???? ?????????, ??? ??????? ???? ??? ??????
  ????????
• ?? ????????, ???, ?????????
• ???????????? ????? ???????? ? ???????

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Euro Lehman Moment (Perfect Storm)

• ?????????? ? ???????? ??????? ?????? ?
  ?????????? ??????, ??????? ? ???????
• ?????????? ?????? ??????? ?????? ?????????????
  ??????
• ???? ? ???????? ?????? ????? ????????? ?????????,
  ??? ?? ?? ??????? ??????????????? (too big)
• ??????????? ?????????? ??????? ?????????? ??
  ???????????? ????????
• ??????????? ????????? ?????? ? ????????? ??????
  ????????? ????? 4-7 ???
• ??? ??? ????? ????????? ?? ????? ????????? ?

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??? ??????? ?????????, ?????? ??? ??????

• ??? ????????? ? ?????? QE-2.
• ??????? ??????? ??????? ?????? ?? ???????? 2013
  ????
• ????? ?????? ?????? ????? QE
• ??? ??????????? ?????? ???????? ?????? ?????? ?
  1 ?? 1.5.
• ?????????? ?????? ?????? ???????? ??????????? ?
  ????????
• ?????????? ???????? ?????? ?, ????????, QE
• ?? ?????????? ?????? ??? ??????
• ? ??? ???????????? ?? ?????
• ? ?????? ???? ?? ?????, ????? ?? ?????

40
???? ??????, ???? ???????? ?
?? 8 ???????? SP500 1186 ?. ????? ??????????
???????? ???????? ????????????? ??? 2009 ????
41
??????? ???? ????????

• ???????? ?????????? ????????
• ????? 70 ?? ???????
• ????? 38 ???./??????
• ????????? ???? ? ?? ?? ????? ????? ? ???????
  ????????
• ?????????? ?????? 200500 ?.?.
• ???? ??? ?? -5
• ????????? ?????? ???????? (?? 10 YoY)
• ?????? ??? (1000-1200 ?), ?? ??? ??
  ??????????????

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?????????????? ??????
43
ECB ?????? ?????? de-facto
44
?????????? ???????? ???
????? ??????? ?????? ?????? ???
45
??? ?????? ??? ? ??????
46
???? ??? ?? ?????? ???????? ???, ? ?????? ????
?????????
47
???????????? ??????????? ????? ??
48
(No Transcript)
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???????? ??????? ???????????????

• ???????? ???, ??????? ?????????? ? ????????
  ?????????? ????????. ? 2000-? ??. ??????????
  ??????? ???? ??? ?? ????? ??????????????
  ?????????? ?????. ???? ???????? ???? ?????????,
  ?? ?????????? ?????????? ?? ???? ?????????
  ???????????? ?????. ???? ???? ????????????? ???
  ??????????? ? ????? ?????????? ??????????, ??
  ????????? ?????????? ?? ???? ????????? ???????? ?
  ?????? ?? ????????? ?? ????????-??????????. ?????
  ???????, ???????? ?????? ? ???????? ??????? ?
  ???????? ??????????? ???????? ????????? ?????
  ?????, ????????? ???????????????? ?????????. ?
  ???? ??? ??????????? ?????????? ?? ????? ???????
  ?? ???????? ?????? 1990-? ??., ??????? ? ????????
  ???? ??????? ?????????? ?????.
• ?????????, 8 ???????? 2011 ?., ????? ????
  ?????? ????????, ????? ?????? ??????, ????????
  ?????? ?????????????????? ????????????
  ?????????

50
??????? ???????? ????????
51
???????? ??-???????? ??????????
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(No Transcript)
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(No Transcript)
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?? ?? (? ?????????????) ??????????? ???????????
55
??????? ???? ? ??, ??????
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(No Transcript)
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(No Transcript)
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??????????? ???????? ? ???
59
??????????? ???????
60
CDS ??????
61
?????? ?????? ?????????

• ????? ????????? ???????????? ? ???????????
• ????????????? ???? ????? ??????? ? ????? ??????
  ??????????? - ??? ?? ????. ? ?????? ?????????
  ?????.
• ?????????????? ?????? ????? ????? ????????????
  ??????, ??????? ??????? ??????????????
  ????????????? ?????????.

62
???????????? ????????????? ????

• ?????????? ????????????? ????? ????????
  ??????????????????
• ? ?????? ????? YF(K,N,TFP) ??? TFP (total factor
  of productivity), ????????? ?????????
• ??????????? ????????? ?????? ???????? ?????
  ???????? ????????????, ??? ? ?????????, ???
  ?????? ?????? ????? ???? ??????

63
?????? ? ??????? ???????????
64
??? ??????? ????? ? 2008/2010