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...
Gespeichert in:
| 1. Verfasser: | |
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| Körperschaft: | |
| Weitere Verfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/288. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed December 12, 2012). "Research Department." "December 2012." |
| Beschreibung: | 1 online resource (21 pages) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781475529968 1475529961 1475519052 9781475519051 1475560591 9781475560596 1475561962 9781475561968 |
Internformat
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| 245 | 1 | 4 | |a The need for "un-consolidating" consolidated banks' stress tests / |c prepared by Eugenio Cerutti and Christian Schmieder. |
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| 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. | ||
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| 650 | 0 | |a Risk assessment. |0 http://id.loc.gov/authorities/subjects/sh87002638 | |
| 650 | 6 | |a Évaluation du risque. | |
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| adam_text | |
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| author | Cerutti, Eugenio |
| author2 | Schmieder, Christian, 1976- |
| author2_role | |
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| author_GND | http://id.loc.gov/authorities/names/no2012159751 |
| author_corporate | International Monetary Fund. Research Department |
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| author_facet | Cerutti, Eugenio Schmieder, Christian, 1976- International Monetary Fund. Research Department |
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| contents | 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. |
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| id | ZDB-4-EBA-ocn822038610 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:25:06Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/n77001219 |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Cerutti, Eugenio. The need for "un-consolidating" consolidated banks' stress tests / prepared by Eugenio Cerutti and Christian Schmieder. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (21 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 data file Bibliography IMF working paper ; WP/12/288 Title from PDF title page (IMF Web site, viewed December 12, 2012). 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. Includes bibliographical references. "Research Department." "December 2012." 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. English. Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Risk assessment. http://id.loc.gov/authorities/subjects/sh87002638 Évaluation du risque. risk assessment. aat BUSINESS & ECONOMICS Finance. bisacsh Banks and banking fast Risk assessment fast Schmieder, Christian, 1976- https://id.oclc.org/worldcat/entity/E39PCjygTGmCV8RB36M8Kbfkj3 http://id.loc.gov/authorities/names/no2012159751 International Monetary Fund. Research Department. http://id.loc.gov/authorities/names/n77001219 has work: The need for "un-consolidating" consolidated banks' stress tests (Text) https://id.oclc.org/worldcat/entity/E39PCG3B3TGghJRWrdbhthf7RC https://id.oclc.org/worldcat/ontology/hasWork 1-4755-2996-1 1-4755-1905-2 IMF working paper ; WP/12/288. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=536792 Volltext |
| spellingShingle | Cerutti, Eugenio The need for "un-consolidating" consolidated banks' stress tests / IMF working paper ; 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. Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Risk assessment. http://id.loc.gov/authorities/subjects/sh87002638 Évaluation du risque. risk assessment. aat BUSINESS & ECONOMICS Finance. bisacsh Banks and banking fast Risk assessment fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85011609 http://id.loc.gov/authorities/subjects/sh87002638 |
| title | The need for "un-consolidating" consolidated banks' stress tests / |
| title_auth | The need for "un-consolidating" consolidated banks' stress tests / |
| title_exact_search | The need for "un-consolidating" consolidated banks' stress tests / |
| title_full | The need for "un-consolidating" consolidated banks' stress tests / prepared by Eugenio Cerutti and Christian Schmieder. |
| title_fullStr | The need for "un-consolidating" consolidated banks' stress tests / prepared by Eugenio Cerutti and Christian Schmieder. |
| title_full_unstemmed | The need for "un-consolidating" consolidated banks' stress tests / prepared by Eugenio Cerutti and Christian Schmieder. |
| title_short | The need for "un-consolidating" consolidated banks' stress tests / |
| title_sort | need for un consolidating consolidated banks stress tests |
| topic | Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Risk assessment. http://id.loc.gov/authorities/subjects/sh87002638 Évaluation du risque. risk assessment. aat BUSINESS & ECONOMICS Finance. bisacsh Banks and banking fast Risk assessment fast |
| topic_facet | Banks and banking. Risk assessment. Évaluation du risque. risk assessment. BUSINESS & ECONOMICS Finance. Banks and banking Risk assessment |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=536792 |
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