03442nam 2200625Ia 450 991080962480332120200520144314.01-4755-6196-21-4755-6059-1(CKB)2550000001041573(EBL)1607096(SSID)ssj0000942941(PQKBManifestationID)11546090(PQKBTitleCode)TC0000942941(PQKBWorkID)10975004(PQKB)11119176(Au-PeEL)EBL1607096(CaPaEBR)ebr10661264(OCoLC)822038610(IMF)WPIEE2012288(IMF)WPIEA2012288(MiAaPQ)EBC1607096(EXLCZ)99255000000104157320111102d2012 uy 0engurcn|||||||||txtccrThe need for "un-consolidating" consolidated banks' stress tests /prepared by Eugenio Cerutti and Christian Schmieder1st ed.Washington, D.C. International Monetary Fund20121 online resource (22 p.)IMF working paper ;12/288Description 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 banking, InternationalRisk managementEconometric models.Banks and bankingRisk managementEconometric models.332.1;332.152Cerutti Eugenio1694879Schmeider Christian1756532MiAaPQMiAaPQMiAaPQBOOK9910809624803321The need for "un-consolidating" consolidated banks' stress tests4193850UNINA