作為歐洲商業銀行巨頭，為什麼唯獨德意志銀行沒有通過美聯儲的壓力測試？是在哪些指標上做的不夠？

12-20

來自 Steven 老師的這篇專欄2015 CCAR 壓力測試結果公布 - 風控齋 - 知乎專欄

CCAR壓力測試結果的評估包括「定性」（qualitative)和「定量」(quantitative) 兩個部分。分為德銀未通過壓力測試的原因，聯儲給出的公開解釋是在定性評估上出了問題，聯儲認為該行的融資計划具有"普遍而嚴重的缺陷」（widespread and substantial weaknesses across their capital planning processes). 其實，作為第一次提交壓力測試結果的歐洲銀行，德銀未通過也非特別使人感到意外。首先，去年首次參加CCAR測試的另外一些歐洲銀行，如滙豐銀行（HSBC),蘇格蘭皇家銀行（RBS）等也同樣未通過（Banco Santander今年已經是第二次fail了）。此外，聯儲早在前年年底就對德銀的財務報告反映出的問題提出了嚴重的警告和質疑，但該行在過去一年的時間內並未從根本上解決這些問題。問題主要包括低質量的監管報告，不準確的信息數據，以及脆弱的信息系統架構。

最後要指出的，參加測試的只是德銀的一個分支機構-Deutsche Bank Trust Corporation,其總資產僅佔德銀母公司Deutsche Bank AG的5%不到。

The comments come from 2014 CCAR test, but still applicable for this year due to the same cause: Quanlitative Deficiencies

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Five banks failed final Federal Reserve stress tests, because they had so-called "qualitative deficiencies" such as problems with their internal controls or issues with projections made by internal company-run exams.

The Fed said that Citigroup has deficiencies in its ability to project revenue and losses under a stressful scenario for "material parts" of the firm"s global operations. The Fed also said Citigroup had deficiencies in its ability to "develop scenarios for its internal stress testing that adequately reflect and stress its full range of business activities and exposures."

The Fed also rejected on qualitative grounds capital plans for three banks that were required to conduct the stress tests, known as the Comprehensive Capital Analysis and Review, for the first time: The U.S. units of HSBC, RBS Citizens and Santander. The Fed said it objected to the capital plans from HSBC and RBS Citizens because of "inadequate governance and weak internal controls around" their capital planning processes.

It seemed to have the biggest issues with Santander Holdings USA"s proposal. It objected to Santander"s capital plan due to "widespread and significant deficiencies" across the bank"s capital planning processes. The central bank included a laundry list of concerns including issues with the firm"s governance, internal controls, risk identification and risk management, as well as concerns about the firm"s management information systems, and assumptions and analysis that support its capital planning processes.

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PS.

1. European banks (IHC for FBOs) are usually not familiar with US regulatory, very easily to be objected on first submission. RBS, HSBC also failed last year.

2. Based on my friend in Santander, the management and structure are really messed up...

3. The deadline for European banks CCAR submission is Jan 2017. Should be much more submissions (and failures, of course) occur in next two years.

interest rate swap position 太大而且根本沒法hedge,只能多撥備資本金，這年頭capital cost能嚇死人

定性評估(Qualitative Assessment)中的評估損失和識別風險的能力不符合要求