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
Electronic Access: Free Full text (PDF file size is 1,357KB).
Use the free Adobe Acrobat Reader to view this PDF file

Link to data for this title. (ZIP file size is 2,372KB).
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
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
Publication Date: January 01, 2012
Format: Paper
Stock No: WPIEA2012003 Pages: 60
US$18.00 (Academic Rate:
US$18.00 )
Please address any questions about this title to