http://www.scribd.com/doc/225293808/%CE%9A%CE%AF%CE%BD%CE%B7%CE%BC%CE%B1-%CE%A5%CE%A0%CE%95%CE%A1%CE%92%CE%91%CE%A3%CE%97-%CE%88%CE%BA%CE%B8%CE%B5%CF%83%CE%B7-BlackRock-%CE%B3%CE%B9%CE%B1-%CF%84%CE%B9%CF%82-%CE%95%CE%BB%CE%BB%CE%B7%CE%BD%CE%B9%CE%BA%CE%AD%CF%82-%CE%A4%CF%81%CE%AC%CF%80%CE%B5%CE%B6%CE%B5%CF%82-%CE%94%CE%B5%CE%BA%CE%B5%CE%BC%CE%B2%CF%81%CE%B9%CE%BF%CF%82-2011
08/20/2014
Diagnostic Assessment of Greek
Banks
Excerpt from Report Submitted on December 30, 2011
| Bank of Greece
Contents
Engagement Summary
2
Group A Banks – AQR and Modeling Overview
6
Group B Banks – AQR and Modeling Overview
9
Macroeconomic Assumptions
12
Residential Mortgage Loans - AQR
14
Residential Mortgage Loans - Methodology
21
Credit Card Loans - AQR
34
Auto Loans - AQR
39
Other Consumer Loans - AQR
44
Consumer Loan Products - Methodology
51
Corporate Loans (excluding CRE and Shipping Loans) - AQR
61
Corporate Loans - Methodology
63
Small and Medium Enterprise (SME) - AQR
74
SME - Methodology
81
Small Business and Professional Loans (SBP) - AQR
83
SBP - Methodology
88
Commercial Real Estate (CRE) Loans - AQR
90
CRE - Methodology
93
Shipping Loans – AQR
97
Shipping Loans - Methodology
100
Disclaimer
103
2 | Bank of Greece
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