05798oam 22012614 450 991077964120332120230802010322.01-4755-6196-21-4755-6059-1(CKB)2550000001041573(EBL)1607096(SSID)ssj0000942941(PQKBManifestationID)11546090(PQKBTitleCode)TC0000942941(PQKBWorkID)10975004(PQKB)11119176(MiAaPQ)EBC1607096(Au-PeEL)EBL1607096(CaPaEBR)ebr10661264(OCoLC)822038610(IMF)WPIEE2012288(IMF)WPIEA2012288(EXLCZ)99255000000104157320020129d2012 uf 0engurcn|||||||||txtccrThe Need for "Un-consolidating" Consolidated Banks' Stress Tests /Eugenio Cerutti, Christian SchmiederWashington, D.C. :International Monetary Fund,2012.1 online resource (22 p.)IMF Working PapersDescription based upon print version of record.1-4755-2996-1 1-4755-1905-2 Includes bibliographical references.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 GroupsThe 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 integrate this risk element into stress tests, and provides illustrative calculations on the size of the potential adjustments needed in the presence of some limits on intragroup flows for banks included in the June 2011 EBA stress tests.IMF Working Papers; Working Paper ;No. 2012/288Banks and banking, InternationalRisk managementEconometric modelsBanks and bankingRisk managementEconometric modelsBanks and BankingimfFinance: GeneralimfInternational Lending and Debt ProblemsimfFinancial Aspects of Economic IntegrationimfInternational Financial MarketsimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfFinancial Institutions and Services: Government Policy and RegulationimfBankingimfFinanceimfFinancial services law & regulationimfStress testingimfCountercyclical capital buffersimfInternational bankingimfForeign banksimfFinancial sector policy and analysisimfFinancial regulation and supervisionimfFinancial institutionsimfCapital adequacy requirementsimfCross-border bankingimfFinancial servicesimfBanks and bankingimfFinancial risk managementimfAsset requirementsimfInternational financeimfBanks and banking, ForeignimfCzech RepublicimfBanks and banking, InternationalRisk managementEconometric models.Banks and bankingRisk managementEconometric models.Banks and BankingFinance: GeneralInternational Lending and Debt ProblemsFinancial Aspects of Economic IntegrationInternational Financial MarketsBanksDepository InstitutionsMicro Finance InstitutionsMortgagesFinancial Institutions and Services: Government Policy and RegulationBankingFinanceFinancial services law & regulationStress testingCountercyclical capital buffersInternational bankingForeign banksFinancial sector policy and analysisFinancial regulation and supervisionFinancial institutionsCapital adequacy requirementsCross-border bankingFinancial servicesBanks and bankingFinancial risk managementAsset requirementsInternational financeBanks and banking, ForeignCerutti Eugenio1476601Schmieder Christian1070721DcWaIMFBOOK9910779641203321The Need for "Un-consolidating" Consolidated Banks' Stress Tests3691343UNINA