Liquidity Stress Tests for Investment Funds: A Practical Guide

October 31, 2017

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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.

Subject: Banking, Bonds, Financial institutions, Financial regulation and supervision, Financial sector policy and analysis, Liquidity requirements, Liquidity stress testing, Mutual funds, Securities

Keywords: 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

Pages:
34
Volume:
2017
DOI:
https://doi.org/10.5089/9781484324783.001
Issue:
226
Series:
Working Paper No. 2017/226
Stock No:
WPIEA2017226
ISBN:
9781484324783
ISSN:
1018-5941

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