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Next Generation System-Wide Liquidity Stress Testing

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from maturity transformation and rollover risks, implemented...

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Bibliographic Details
Main Author: Puhr, Claus
Other Authors: Hesse, Heiko, Neftci, Salih, Neudorfer, Benjamin
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2012
Series:IMF Working Papers
Subjects:
Interest Rates
Sovereign Bonds
Economics
Liquidity Risk
Banks
Finance
Option Pricing
Banks And Banking
Financial Services
Deflation
Short Term Interest Rates
Mortgages
International Financial Markets
Asset Prices
Futures Pricing
Financial Risk Management
Bonds
Capital And Ownership Structure
Goodwill
Financial Institutions And Services: General
Macroeconomics
Banking
Financial Risk And Risk Management
Financing Policy
Investment Decisions
Depository Institutions
Inflation
Institutional Investors
Pension Funds
Financial Institutions
Contingent Pricing
Value Of Firms
Financial Instruments
Micro Finance Institutions
Liquidity Stress Testing
Options
Financial Institutions And Services: Government Policy And Regulation
General Financial Markets: General (includes Measurement And Data)
Investments: Bonds
Investments: Options
Liquidity
Derivative Securities
Price Level
Non-bank Financial Institutions
Prices
Interest Rates: Determination, Term Structure, And Effects
Investment & Securities
Portfolio Choice
Finance: General
Financial Services Law & Regulation
Stress Testing
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from maturity transformation and rollover risks, implemented either in a simplified manner or as a fully-fledged cash flow-based approach; and (c) a framework to link liquidity and solvency risks. The framework also allows the simulation of how banks cope with upcoming regulatory changes (Basel III), and accommodates differences in data availability. A case study shows the impact of a "Lehman" type event for stylized banks
Physical Description:61 pages
ISBN:9781475502466

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