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Author/Editor:
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Schmieder, Christian ; Hesse, Heiko ; Neudorfer, Benjamin ; Puhr, Claus ; Schmitz, Stefan W.
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Publication Date:
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January 01, 2012
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Electronic Access:
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Free Full text
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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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.
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Order a print copy
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Series:
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Working Paper No. 12/3
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Subject(s):
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Bank supervision | Banks | Financial risk | Liquidity management | Risk management
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Author's Keyword(s):
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Stress Testing | Liquidity Risk | Basel III |
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English
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Publication Date:
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January 01, 2012
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Format:
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Paper
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Stock No:
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WPIEA2012003
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Pages:
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60
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Price:
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US$18.00 )
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Please address any questions about this title to
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