Series: IMF Working Papers
Author(s): Claus Puhr , Andre Santos , Christian Schmieder , Salih Neftci , Benjamin Neudorfer , Stefan Schmitz , and Heiko Hesse
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2012
Keywords: StressTesting, Basel III, liquidity, solvency, cash flow, maturity, Monetary and Capital Markets Department, General Financial Markets: General (includes Measurement and Data), Financial Institutions and Services: General,
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...