without getting into ANZ's specific risk modelling I would take the generalized view form their statements that its based on economic scenarios within the last 30 years.
Were as I take Rogoff's veiw that we face a 1/80 year scenario and therefore render the ANZ risk models obsolete
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http://www.project-syndicate.org/commentary/rogoff83/English
"Some observers regard any suggestion of even modestly elevated inflation as a form of heresy. But Great Contractions, as opposed to recessions, are very infrequent events, occurring perhaps once every 70 or 80 years. These are times when central banks need to spend some of the credibility that they accumulate in normal times."
meanwhile with very low unemployment RMBS delinquency is rising fast already at its 2009 level. The key here thing to recognize is a significant structural weakness across the entire Australian banking sector. ANZ execs are well aware of this weakness and simply pray this scenario does not unfold.
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http://www.reuters.com/article/2011/07/25/markets-ratings-ausprimermbs-idUSL3E7IP0OY20110725
"Loans underlying Australian prime residential mortgage-backed securities (RMBS) that are greater-than-30 days in arrears rose to 1.83% in April 2011, from 1.81% in March 2011, according to a report published by Standard & Poor's Ratings Services. This is near the all-time peak of 1.84% reached in January 2009. Subprime RMBS arrears jumped by 83 basis points to 12.05% during the same period, with less than A$2 billion in subprime RMBS outstanding. Despite three new prime issuances, total prime RMBS outstanding fell to less than A$81.5 billion, from A$81.7 billion in March 2011."
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without getting into ANZ's specific risk modelling I would take...
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