Liquidity Stress Tests for Investment Funds: A Practical Guide

Author/Editor:

Antoine Bouveret

Publication Date:

October 31, 2017

Electronic Access:

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Summary:

This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank-fund interlinkages are also covered.

Series:

Working Paper No. 17/226

Subject:

English

Publication Date:

October 31, 2017

ISBN/ISSN:

9781484324783/1018-5941

Stock No:

WPIEA2017226

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

34

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