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Record Nr. |
UNINA9910452483903321 |
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Autore |
Cerutti Eugenio |
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Titolo |
The need for "un-consolidating" consolidated banks' stress tests [[electronic resource] /] / prepared by Eugenio Cerutti and Christian Schmieder |
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Pubbl/distr/stampa |
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Washington, D.C., : International Monetary Fund, 2012 |
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ISBN |
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1-4755-6196-2 |
1-4755-6059-1 |
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Descrizione fisica |
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1 online resource (22 p.) |
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Collana |
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IMF working paper ; ; 12/288 |
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Altri autori (Persone) |
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Soggetti |
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Banks and banking, International - Risk management - Econometric models |
Banks and banking - Risk management - Econometric models |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Cover; Contents; I. Introduction; II. The Recent Evolution in Bank Stress Tests; III. A Combined Unconsolidated/Consolidated Stress Test Approach; Figure; 1. Conceptual Difference between 'Traditional' Stress Test and Stress Tests Taking into Account Group Structures; IV. Quantifying the Potential Bias of not Using a Combined Approach; 2. Banks' Geographical Distributions; 3. Banks' share of Profits and Capital Outside EU; 4. Partial and Full Ring Fencing Adjustments; V. Conclusions; References; Annex I - Mapping Bank Groups |
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Sommario/riassunto |
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The recent crisis has spurred the use of stress tests as a (crisis) management and early warning tool. However, a weakness is that they omit potential risks embedded in the banking groups' geographical structures by assuming that capital and liquidity are available wherever they are needed within the group. This assumption neglects the fact that regulations differ across countries (e.g., minimum capital requirements), and, more importantly, that home/host regulators might limit flows of capital or liquidity within a group during periods of stress. This study presents a framework on how to |
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