Next Generation System-Wide Liquidity Stress Testing

 
Author/Editor: Schmieder, Christian ; Hesse, Heiko ; Neudorfer, Benjamin ; Puhr, Claus ; Schmitz, Stefan W.
 
Publication Date: January 01, 2012
 
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Summary: A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from maturity transformation and rollover risks, implemented either in a simplified manner or as a fully-fledged cash flow-based approach; and (c) a framework to link liquidity and solvency risks. The framework also allows the simulation of how banks cope with upcoming regulatory changes (Basel III), and accommodates differences in data availability. A case study shows the impact of a "Lehman" type event for stylized banks.
 
Series: Working Paper No. 12/3
Subject(s): Bank supervision | Banks | Financial risk | Liquidity management | Risk management

Author's Keyword(s): Stress Testing | Liquidity Risk | Basel III
 
English
Publication Date: January 01, 2012
Format: Paper
Stock No: WPIEA2012003 Pages: 60
Price:
US$18.00 (Academic Rate:
US$18.00 )
 
 
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