Liquidity Stress Tests for Investment Funds: A Practical Guide
IMF Working Papers, October 31, 2017
Source details
- Canonical URL
- Liquidity Stress Tests for Investment Funds: A Practical Guide
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Bibliographic details
- Authors: Antoine Bouveret
- Published: October 31, 2017
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484324783.001
Overview and purpose
- Paper outlines a framework to perform liquidity stress tests for investment funds.
- Practical aspects discussed include:
- calibration of the redemption shock,
- measurement of liquidity buffers,
- assessment of the resilience of investment funds.
- Integration topics covered:
- integration of liquidity stress tests with banking sector stress tests,
- possible bank-fund interlinkages.
Subjects and thematic scope
- Subjects:
- Banking
- Bonds
- Financial institutions
- Financial regulation and supervision
- Financial sector policy and analysis
- Liquidity requirements
- Liquidity stress testing
- Mutual funds
- Securities
- Keywords (as provided):
- bank-fund interlinkage
- Bonds
- Europe
- fund
- fund manager
- HY fund
- investment funds
- liquidity
- liquidity buffer
- Liquidity requirements
- Liquidity stress testing
- Mutual funds
- redemption
- redemption shock
- Securities
- stress test
- WP
Main analytical components (as presented)
- Framework elements for liquidity stress testing:
- calibration of redemption shock (methodological discussion).
- measurement of liquidity buffers (practical measurement considerations).
- assessment of fund resilience (assessment approaches).
- Cross-sector considerations:
- integration with banking sector stress tests.
- analysis of possible bank-fund interlinkages.
Usage and caveat
- IMF Working Papers describe research in progress and are published to elicit comments and to encourage debate.
- Views expressed are those of the author and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Source: IMF Working Paper — Antoine Bouveret, "Liquidity Stress Tests for Investment Funds: A Practical Guide", Working Paper No. 2017/226, October 31, 2017.
Content in this bundle
- Liquidity Stress Tests for Investment Funds: A Practical Guide, WP/17/226, October 2017