The IMF Working Papers series is designed to make IMF staff research available to a wide audience. With nearly 300 released each year, working papers cover a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Claus Puhr, Andre Santos, Christian Schmieder, Salih Neftci, Benjamin Neudorfer, Stefan Schmitz, and Heiko Hesse
Publisher:
INTERNATIONAL MONETARY FUND
Published Date:
January 2012
DOI:
http://dx.doi.org/10.5089/9781475502466.001
ISBN:
9781475502466
ISSN:
1018-5941
Page:
61
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.
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