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Next Generation System-Wide Liquidity Stress Testing

Mr.Claus PuhrMr.Andre SantosMr.Christian SchmiederSalih N. NeftciMr.Benjamin NeudorferMr.Stefan W. SchmitzMr.Heiko Hesse

出版	International Monetary Fund, 2012-01-01
主題	Business & Economics / Banks & BankingBusiness & Economics / Finance / General
ISBN	147550246X9781475502466
URL	http://books.google.com.hk/books?id=AVMZEAAAQBAJ&hl=&source=gbs_api
EBook	SAMPLE

註釋

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.