Ring fencing and consolidated banks’ stress tests
The recent crisis has spurred the use of bank stress tests as a crisis management and early warning tool. However, a weakness is that current stress tests are based on consolidated balance sheets, and thus omit potential risks embedded in banking groups’ geographical structures by assuming that capital and liquidity are available wherever they are needed within the group. This study presents a framework to integrate ring fencing and regulatory differences (e.g., minimum capital requirements) into cross-border bank stress tests. Case studies show how some forms of ring fencing—home or host regulators limiting flows of capital and income within a group—could significantly increase banks’ capital needs.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012.
"Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?,"
NBER Working Papers
18531, National Bureau of Economic Research, Inc.
- Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 235-260 National Bureau of Economic Research, Inc.
- Eugenio M Cerutti & Patrick M. McGuire & Stijn Claessens, 2011. "Systemic Risks in Global Banking; What Available Data Can Tell Us and What More Data Are Needed?," IMF Working Papers 11/222, International Monetary Fund.
- Cetorelli, Nicola & Goldberg, Linda S., 2012.
"Liquidity management of U.S. global banks: Internal capital markets in the great recession,"
Journal of International Economics,
Elsevier, vol. 88(2), pages 299-311.
- Nicola Cetorelli & Linda S. Goldberg, 2011. "Liquidity Management of U.S. Global Banks: Internal Capital Markets in the Great Recession," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
- Nicola Cetorelli & Linda S. Goldberg, 2011. "Liquidity management of U.S. global banks: internal capital markets in the Great Recession," Staff Reports 511, Federal Reserve Bank of New York.
- Nicola Cetorelli & Linda S. Goldberg, 2011. "Liquidity management of U.S. global banks: Internal capital markets in the great recession," NBER Working Papers 17355, National Bureau of Economic Research, Inc.
- De Haas, Ralph & van Lelyveld, Iman, 2009.
"Internal Capital Markets and Lending by Multinational Bank Subsidiaries,"
13164, University Library of Munich, Germany.
- de Haas, Ralph & van Lelyveld, Iman, 2010. "Internal capital markets and lending by multinational bank subsidiaries," Journal of Financial Intermediation, Elsevier, vol. 19(1), pages 1-25, January.
- Ralph de Haas & Iman van Lelyveld, 2006. "Internal Capital Markets and Lending by Multinational Bank Subsidiaries," DNB Working Papers 101, Netherlands Central Bank, Research Department.
- Cerutti, Eugenio & Dell'Ariccia, Giovanni & Martinez Peria, Maria Soledad, 2005.
"How banks go abroad : branches or subsidiaries ?,"
Policy Research Working Paper Series
3753, The World Bank.
- Nicola Cetorelli & Linda S. Goldberg, 2012. "Banking Globalization and Monetary Transmission," Journal of Finance, American Finance Association, vol. 67(5), pages 1811-1843, October.
- Avgouleas, Emilios & Goodhart, Charles & Schoenmaker, Dirk, 2013. "Bank Resolution Plans as a catalyst for global financial reform," Journal of Financial Stability, Elsevier, vol. 9(2), pages 210-218.
- Eisenbeis, Robert A. & Kaufman, George G., 2008. "Cross-border banking and financial stability in the EU," Journal of Financial Stability, Elsevier, vol. 4(3), pages 168-204, September.
- International Monetary Fund, 2012. "Spain; Financial System Stability Assessment," IMF Staff Country Reports 12/137, International Monetary Fund.
- Hardy, Daniel C. & Nieto, Maria J., 2011. "Cross-border coordination of prudential supervision and deposit guarantees," Journal of Financial Stability, Elsevier, vol. 7(3), pages 155-164, August.
- Antonella Foglia, 2009. "Stress Testing Credit Risk: A Survey of Authorities' Aproaches," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 9-45, September.
- International Monetary Fund, 2012. "Czech Republic; Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 12/174, International Monetary Fund.
- Daniel C. Hardy & María J. Nieto, 2011. "Cross-border coordination of prudential supervision And deposit guarantees," Working Papers 1126, Banco de España;Working Papers Homepage.
When requesting a correction, please mention this item's handle: RePEc:eee:finsta:v:11:y:2014:i:c:p:1-12. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.