Franklin

The Need for ""Un-consolidating"" Consolidated Banks' Stress Tests [electronic resource] Cerutti, Eugenio.

Author/Creator:
Cerutti, Eugenio.
Publication:
Washington, D.C. : International Monetary Fund, 2012.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 12/288.
IMF Working Papers; Working Paper No. 12/288
Format/Description:
Government document
Book
1 online resource (21 p.)
Local subjects:
Bank activities.
Bank balance sheet.
Bank capital.
Bank data.
Bank groups.
Bank losses.
Bank of greece.
Bank of international settlements.
Bank operations.
Bank profit.
Bank regulators.
Bank size.
Bank solvency.
Bank structures.
Bank subsidiaries.
Bankers.
Banking authority.
Banking operations.
Banking sector.
Banking stability.
Banking supervision.
Banking system.
Banks.
Banks balance sheets.
Capital adequacy.
Capital adequacy ratios.
Capital adjustment.
Capital market.
Capital markets.
Capital needs.
Capital ratio.
Excess liquidity.
Financial Aspects of Economic Integration.
Financial risk.
Flows of capital.
Government Policy and Regulation.
International banks.
International Financial Markets.
International Lending and Debt Problems.
Mortgages.
Other Depository Institutions.
Stress testing.
Subordinated debt.
Tier 1 capital.
Algeria.
Bulgaria.
Czech Republic.
Dominican Republic.
El Salvador.
Georgia.
Greece.
Iceland.
Norway.
Poland.
Romania.
Spain.
Switzerland.
Turkey.
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Cerutti, Eugenio.
Schmieder, Christian.
Other format:
Print Version:
ISBN:
1475519052:
9781475519051
ISSN:
1018-5941
Publisher Number:
10.5089/9781475519051.001
Access Restriction:
Restricted for use by site license.
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