The Need for ""Un-consolidating"" Consolidated Banks' Stress Tests [electronic resource] Cerutti, Eugenio.
- Washington, D.C. : International Monetary Fund, 2012.
- IMF eLibrary
IMF Working Papers; Working Paper No. 12/288.
IMF Working Papers; Working Paper No. 12/288
- Government document
1 online resource (21 p.)
- Local subjects:
- Bank activities.
Bank balance sheet.
Bank of greece.
Bank of international settlements.
Banks balance sheets.
Capital adequacy ratios.
Financial Aspects of Economic Integration.
Flows of capital.
Government Policy and Regulation.
International Financial Markets.
International Lending and Debt Problems.
Other Depository Institutions.
Tier 1 capital.
- 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.
- Description based on print version record.
- Cerutti, Eugenio.
- Other format:
- Print Version:
- Publisher Number:
- Access Restriction:
- Restricted for use by site license.
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