Next Generation System-Wide Liquidity Stress Testing /
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...
| Main Author: | Puhr, Claus |
|---|---|
| Other Authors: | Neftci, Salih, Santos, Andre, Schmieder, Christian |
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2012.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2012/003 |
| Online Access: | Full text available on IMF |
Similar Items
-
Next Generation Balance Sheet Stress Testing /
by: Schmieder, Christian
Published: (2011) -
Liquidity Stress Tests for Investment Funds : A Practical Guide /
by: Bouveret, Antoine
Published: (2017) -
Integrating Solvency and Liquidity Stress Tests : The Use of Markov Regime-Switching Models /
by: Han, Fei
Published: (2019) -
Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems /
by: Jobst, Andreas A.
Published: (2017) -
The Next Generation
by: Waters