IMF Working Papers

Liquidity Stress Tests for Investment Funds: A Practical Guide

By Antoine Bouveret

October 31, 2017

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Format: Chicago

Antoine Bouveret. Liquidity Stress Tests for Investment Funds: A Practical Guide, (USA: International Monetary Fund, 2017) accessed September 19, 2024

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

Publication Details

  • Pages:

    34

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2017/226

  • Stock No:

    WPIEA2017226

  • ISBN:

    9781484324783

  • ISSN:

    1018-5941