05987oam 22013454 450 991095681930332120250426110054.09781475561968147556196297814755605961475560591(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)EBC1607096WPIEA2012288(EXLCZ)99255000000104157320020129d2012 uf 0engurcn|||||||||txtccrThe Need for "Un-consolidating" Consolidated Banks' Stress Tests /Eugenio Cerutti, Christian Schmieder1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (22 p.)IMF Working PapersDescription based upon print version of record.9781475529968 1475529961 9781475519051 1475519052 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 modelsAsset requirementsimfBankingimfBanks and BankingimfBanks and bankingimfBanks and banking, ForeignimfBanksimfCapital adequacy requirementsimfCountercyclical capital buffersimfCross-border bankingimfDepository InstitutionsimfFinanceimfFinance: GeneralimfFinancial Aspects of Economic IntegrationimfFinancial Institutions and Services: Government Policy and RegulationimfFinancial institutionsimfFinancial regulation and supervisionimfFinancial risk managementimfFinancial sector policy and analysisimfFinancial services law & regulationimfFinancial servicesimfForeign banksimfInternational bankingimfInternational financeimfInternational Financial MarketsimfInternational Lending and Debt ProblemsimfMicro Finance InstitutionsimfMortgagesimfStress testingimfCzech RepublicimfBanks and banking, InternationalRisk managementEconometric models.Banks and bankingRisk managementEconometric models.Asset requirementsBankingBanks and BankingBanks and bankingBanks and banking, ForeignBanksCapital adequacy requirementsCountercyclical capital buffersCross-border bankingDepository InstitutionsFinanceFinance: GeneralFinancial Aspects of Economic IntegrationFinancial Institutions and Services: Government Policy and RegulationFinancial institutionsFinancial regulation and supervisionFinancial risk managementFinancial sector policy and analysisFinancial services law & regulationFinancial servicesForeign banksInternational bankingInternational financeInternational Financial MarketsInternational Lending and Debt ProblemsMicro Finance InstitutionsMortgagesStress testing332.1;332.152Cerutti Eugenio1816226Schmieder Christian1070721DcWaIMFBOOK9910956819303321The Need for "Un-consolidating" Consolidated Banks' Stress Tests4372825UNINA