The Need for "Un-consolidating" Consolidated Banks' Stress Tests / / Eugenio Cerutti, Christian Schmieder
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| Autore: |
Cerutti Eugenio
|
| Titolo: |
The Need for "Un-consolidating" Consolidated Banks' Stress Tests / / Eugenio Cerutti, Christian Schmieder
|
| Pubblicazione: | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (22 p.) |
| Disciplina: | 332.1;332.152 |
| Soggetto topico: | Banks and banking, International - Risk management - Econometric models |
| Banks and banking - Risk management - Econometric models | |
| Banks and Banking | |
| Finance: General | |
| International Lending and Debt Problems | |
| Financial Aspects of Economic Integration | |
| International Financial Markets | |
| Banks | |
| Depository Institutions | |
| Micro Finance Institutions | |
| Mortgages | |
| Financial Institutions and Services: Government Policy and Regulation | |
| Banking | |
| Finance | |
| Financial services law & regulation | |
| Stress testing | |
| Countercyclical capital buffers | |
| International banking | |
| Foreign banks | |
| Financial sector policy and analysis | |
| Financial regulation and supervision | |
| Financial institutions | |
| Capital adequacy requirements | |
| Cross-border banking | |
| Financial services | |
| Banks and banking | |
| Financial risk management | |
| Asset requirements | |
| International finance | |
| Banks and banking, Foreign | |
| Soggetto geografico: | Czech Republic |
| Altri autori: |
SchmiederChristian
|
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references. |
| Nota di contenuto: | 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 |
| Sommario/riassunto: | 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 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. |
| Titolo autorizzato: | The Need for "Un-consolidating" Consolidated Banks' Stress Tests |
| ISBN: | 1-4755-6196-2 |
| 1-4755-6059-1 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910809624803321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
IMF Working Papers; Working Paper ; ; No. 2012/288