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The need for "un-consolidating" consolidated banks' stress tests /
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 with...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Colección: | IMF working paper ;
WP/12/288. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Cerutti, Eugenio. | |
| 245 | 1 | 4 | |a The need for "un-consolidating" consolidated banks' stress tests / |c prepared by Eugenio Cerutti and Christian Schmieder. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
| 300 | |a 1 online resource (21 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 347 | |a data file | ||
| 380 | |a Bibliography | ||
| 490 | 1 | |a IMF working paper ; |v WP/12/288 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed December 12, 2012). | ||
| 520 | |a 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. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Research Department." | ||
| 500 | |a "December 2012." | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. The Recent Evolution in Bank Stress Tests; III. A Combined Unconsolidated/Consolidated Stress Test Approach; IV. Quantifying the Potential Bias of not Using a Combined Approach; V. Conclusions; Figure; 1. Conceptual Difference between 'Traditional' Stress Test and Stress Tests Taking into Account Group Structures; 2. Banks' Geographical Distributions; 3. Banks' share of Profits and Capital Outside EU; 4. Partial and Full Ring Fencing Adjustments; References; Annex I -- Mapping Bank Groups. | |
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Banks and banking. | |
| 650 | 0 | |a Risk assessment. | |
| 650 | 6 | |a Évaluation du risque. | |
| 650 | 7 | |a risk assessment. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Banks and banking. |2 fast |0 (OCoLC)fst00826867 | |
| 650 | 7 | |a Risk assessment. |2 fast |0 (OCoLC)fst01098146 | |
| 700 | 1 | |a Schmieder, Christian, |d 1976- | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. | |
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| 830 | 0 | |a IMF working paper ; |v WP/12/288. | |
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