LEADER 05848oam 22012854 450 001 9910809624803321 005 20240402045859.0 010 $a1-4755-6196-2 010 $a1-4755-6059-1 035 $a(CKB)2550000001041573 035 $a(EBL)1607096 035 $a(SSID)ssj0000942941 035 $a(PQKBManifestationID)11546090 035 $a(PQKBTitleCode)TC0000942941 035 $a(PQKBWorkID)10975004 035 $a(PQKB)11119176 035 $a(MiAaPQ)EBC1607096 035 $a(Au-PeEL)EBL1607096 035 $a(CaPaEBR)ebr10661264 035 $a(OCoLC)822038610 035 $a(IMF)WPIEE2012288 035 $a(IMF)WPIEA2012288 035 $a(EXLCZ)992550000001041573 100 $a20020129d2012 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe Need for "Un-consolidating" Consolidated Banks' Stress Tests /$fEugenio Cerutti, Christian Schmieder 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (22 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4755-2996-1 311 $a1-4755-1905-2 320 $aIncludes bibliographical references. 327 $aCover; 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 330 3 $aThe recent crisis has spurred the use of stress tests as a (crisis) management and early warning tool. However, a weakness is that they omit potential risks embedded in the banking groups? geographical structures by assuming that capital and liquidity are available wherever they are needed within the group. This assumption neglects the fact that regulations differ across countries (e.g., minimum capital requirements), and, more importantly, that home/host regulators might limit flows of capital or liquidity within a group during periods of stress. This study presents a framework on how to integrate this risk element into stress tests, and provides illustrative calculations on the size of the potential adjustments needed in the presence of some limits on intragroup flows for banks included in the June 2011 EBA stress tests. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/288 606 $aBanks and banking, International$xRisk management$xEconometric models 606 $aBanks and banking$xRisk management$xEconometric models 606 $aBanks and Banking$2imf 606 $aFinance: General$2imf 606 $aInternational Lending and Debt Problems$2imf 606 $aFinancial Aspects of Economic Integration$2imf 606 $aInternational Financial Markets$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aBanking$2imf 606 $aFinance$2imf 606 $aFinancial services law & regulation$2imf 606 $aStress testing$2imf 606 $aCountercyclical capital buffers$2imf 606 $aInternational banking$2imf 606 $aForeign banks$2imf 606 $aFinancial sector policy and analysis$2imf 606 $aFinancial regulation and supervision$2imf 606 $aFinancial institutions$2imf 606 $aCapital adequacy requirements$2imf 606 $aCross-border banking$2imf 606 $aFinancial services$2imf 606 $aBanks and banking$2imf 606 $aFinancial risk management$2imf 606 $aAsset requirements$2imf 606 $aInternational finance$2imf 606 $aBanks and banking, Foreign$2imf 607 $aCzech Republic$2imf 615 0$aBanks and banking, International$xRisk management$xEconometric models. 615 0$aBanks and banking$xRisk management$xEconometric models. 615 7$aBanks and Banking 615 7$aFinance: General 615 7$aInternational Lending and Debt Problems 615 7$aFinancial Aspects of Economic Integration 615 7$aInternational Financial Markets 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aBanking 615 7$aFinance 615 7$aFinancial services law & regulation 615 7$aStress testing 615 7$aCountercyclical capital buffers 615 7$aInternational banking 615 7$aForeign banks 615 7$aFinancial sector policy and analysis 615 7$aFinancial regulation and supervision 615 7$aFinancial institutions 615 7$aCapital adequacy requirements 615 7$aCross-border banking 615 7$aFinancial services 615 7$aBanks and banking 615 7$aFinancial risk management 615 7$aAsset requirements 615 7$aInternational finance 615 7$aBanks and banking, Foreign 676 $a332.1;332.152 700 $aCerutti$b Eugenio$01694879 701 $aSchmieder$b Christian$01070721 801 0$bDcWaIMF 906 $aBOOK 912 $a9910809624803321 996 $aThe Need for "Un-consolidating" Consolidated Banks' Stress Tests$94109345 997 $aUNINA