{
  "title": "Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems",
  "publication": "IMF Working Papers, May 1, 2017",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2017/05/01/macroprudential-liquidity-stress-testing-in-fsaps-for-systemically-important-financial-44873",
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  "summary": "Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing.",
  "sections": [
    {
      "heading": "Summary and findings",
      "content": "- Bank liquidity stress testing remains underdeveloped compared to solvency stress testing.\n- Liquidity shocks are infrequent but can have a severe impact on affected banks and financial systems.\n- Adequately identifying, modeling, and assessing the impact of liquidity shocks is complicated by:\n  - data limitations, and\n  - interactions among multiple factors.\n- The paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP)."
    },
    {
      "heading": "Implementation in FSAPs",
      "content": "- The paper discusses implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.\n- Focus is on practical application of liquidity stress testing approaches within FSAPs for systemically important financial systems."
    },
    {
      "heading": "Challenges and considerations highlighted",
      "content": "- Data limitations that constrain identification, modeling, and assessment of liquidity shocks.\n- Complexity arising from interactions among multiple factors affecting liquidity outcomes.\n- The relative infrequency of severe liquidity shocks complicates calibration and validation of stress scenarios."
    },
    {
      "heading": "Subjects and keywords (as stated in the paper)",
      "content": "- Subject: Asset and liability management, Banking, Financial regulation and supervision, Financial sector policy and analysis, Liquidity, Liquidity management, Liquidity risk, Liquidity stress testing, Stress testing\n- Keywords: Africa, bank, bank supervisor, Basel III, Basel III liquidity framework, cash flow-based approach, funding, funding condition, funding market, Liquidity, liquidity buffer, liquidity condition, liquidity coverage ratio (LCR), Liquidity management, liquidity risk, liquidity shock, Liquidity stress testing, market liquidity, net stable funding ratio (NSFR), risk, risk framework, solvency concern, solvency condition, solvency risk, stress testing, WP"
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      "heading": "Publication identifiers and key metadata (preserved exactly)",
      "content": "- By Andreas Jobst, Li L Ong, Christian Schmieder\n- May 1, 2017\n- Pages: 56\n- Volume: 2017\n- Issue: 102\n- Series: Working Paper No. 2017/102\n- DOI: https://doi.org/10.5089/9781475597240.001\n- Stock No: WPIEA2017102\n- ISBN: 9781475597240\n- ISSN: 1018-5941\n\nSource: IMF Working Papers — \"Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems\" by Andreas Jobst, Li L Ong, and Christian Schmieder (May 1, 2017).\n\n---\n\n Content in this bundle\n\n- wp17102\n  - wp17102 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp17102 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2017/05/01/macroprudential-liquidity-stress-testing-in-fsaps-for-systemically-important-financial-44873"
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    "Authors: Andreas Jobst, Li L Ong, Christian Schmieder",
    "Published: May 1, 2017",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781475597240.001",
    "Bank liquidity stress testing remains underdeveloped compared to solvency stress testing.",
    "Liquidity shocks are infrequent but can have a severe impact on affected banks and financial systems.",
    "Adequately identifying, modeling, and assessing the impact of liquidity shocks is complicated by:",
    "The paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP).",
    "The paper discusses implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.",
    "Focus is on practical application of liquidity stress testing approaches within FSAPs for systemically important financial systems.",
    "Data limitations that constrain identification, modeling, and assessment of liquidity shocks.",
    "Complexity arising from interactions among multiple factors affecting liquidity outcomes.",
    "The relative infrequency of severe liquidity shocks complicates calibration and validation of stress scenarios.",
    "Subject: Asset and liability management, Banking, Financial regulation and supervision, Financial sector policy and analysis, Liquidity, Liquidity management, Liquidity risk, Liquidity stress testing, Stress testing",
    "Keywords: Africa, bank, bank supervisor, Basel III, Basel III liquidity framework, cash flow-based approach, funding, funding condition, funding market, Liquidity, liquidity buffer, liquidity condition, liquidity coverage ratio (LCR), Liquidity management, liquidity risk, liquidity shock, Liquidity stress testing, market liquidity, net stable funding ratio (NSFR), risk, risk framework, solvency concern, solvency condition, solvency risk, stress testing, WP",
    "By Andreas Jobst, Li L Ong, Christian Schmieder",
    "May 1, 2017",
    "Pages: 56",
    "Volume: 2017",
    "Issue: 102",
    "Series: Working Paper No. 2017/102",
    "DOI: https://doi.org/10.5089/9781475597240.001",
    "Stock No: WPIEA2017102",
    "ISBN: 9781475597240",
    "ISSN: 1018-5941",
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