IMF Working Papers

IMF Working Papers
Journal
Publisher:
International Monetary Fund
ISSN:
1018-5941
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
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Next Generation System-Wide Liquidity Stress Testing

Next Generation System-Wide Liquidity Stress Testing
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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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