Liquidity Stress Tests for Investment Funds: A Practical Guide
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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. 2017/226
Subject:
Banking Bonds Financial institutions Financial regulation and supervision Financial sector policy and analysis Liquidity requirements Liquidity stress testing Mutual funds Securities
English
Publication Date:
October 31, 2017
ISBN/ISSN:
9781484324783/1018-5941
Stock No:
WPIEA2017226
Pages:
34
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