Economistas da UE consideram os testes de stress do BCE uma farsa.
Independent experts say the ECB has greatly under-played the threat of a serious shock. A study by Sachsa Steffen, from the European School of Management (ESMT) in Berlin, and Viral Acharya, at the Stern School of Business in New York, calculated that the 39 largest European banks would alone need up to €450bn in fresh capital. “The major flaw in the ECB test is that they don’t allow for systemic risk where there are forced sales and feedback effects, which is what happened in the Lehman crisis,” said Professor Steffen.
Their study looked at levels of leverage rather than risk-weighted assets, which are subject to the discretion of national regulators and can easily be fudged. Most Club Med banks can defer tax assets, for example.
Comentário: Neste post eu já tinha mencionado que os testes do BCE não reflectiam o risco sistémico dos cenários mais adversos. É uma questão de bom senso.