Next Generation System-Wide Liquidity Stress Testing

Journal Issue

Volume/Issue:: 2012/3
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
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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Next Generation System-Wide Liquidity Stress Testing