UID:
edoccha_9958091114202883
Format:
1 online resource (63 p.)
ISBN:
1-4639-9617-9
,
1-4639-9093-6
Series Statement:
IMF Working Papers
Content:
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.
Note:
Description based upon print version of record.
,
""Cover""; ""Contents""; ""I. Introduction""; ""II. Review of General Concepts to Assess Liquidity Risks""; ""A. General Considerations and Motivation""; ""B. Methodological Aspects""; ""Overview of Recent Methods to Assess Liquidity Risks""; ""Top-Down or Bottom-Up?""; ""Outcome of Liquidity Stress Tests""; ""III. Framework of Next Generation Liquidity Stress Tests""; ""IV. Design of Stress Scenarios""; ""A. General Considerations""; ""B. Run-Off Rates for Different Funding Sources""; ""C. Asset Side: Fire Sales & Rollover""; ""D. Link Between Liquidity and Solvency""
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""E. Liquidity Stress Tests in Recent FSAPs and Benchmark Scenarios""""V. Case Study""; ""A. Case Study Implied Cash Flow Analysis""; ""B. Case Study Fully Fledged Cash Flow Analysis""; ""VI. Conclusion""; ""References""; ""Tables""; ""1. Comparison of Pros and Cons of Balance Sheet Type TD and BU Liquidity""; ""2. Overview on the Main Elements of Three Liquidity Tests""; ""3. Magnitude of Runs on Funding�Empirical Evidence and Stress Test Assumptions""; ""4. Supervisory Haircuts Based on Solvency Regime and Liquidity Regime""; ""5. Benchmark Scenarios""
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""6. Implied Cash Flow Case Study�Sample Banks""""7. Outcome of Fully Fledged Cash Flow Stress Tests for Stylized Banks""; ""AIV.1: Liquidity Categories for Marketable Assets Used by the European Central Bank""; ""AIV.2: Haircuts Applied to Eligible Market Securities""; ""AIV.3. Liquidity Risks Stress Tests as Part of the Recent FSAPs""; ""Figures""; ""1. Overview on Liquidity Risk Framework""; ""2. Outcome of Implied Cash Flow Stress Tests for Stylized Banks""; ""AII.1 Composition of Assets (left) and Liabilities (right) for Banks in OECD Countries, ECs, and LICs""
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""AV.1. Schematic Overview for the Calibration of Funding Costs""""Box""; ""AI.1. Regulatory Initiatives to Stress Test Liquidity Risk""; ""Appendices""; ""I. Recapitulating Liquidity Issues During the Financial Crisis""; ""II. Cross-Country Funding Pattern""; ""III. Details on all Modules of the Stress Testing Framework""; ""IV. Additional Information on Scenario Specification""; ""V. Link Between Solvency and Liquidity""
,
English
Additional Edition:
ISBN 1-4639-9552-0
Additional Edition:
ISBN 1-4755-0246-X
Language:
English
