Next Generation System-Wide Liquidity Stress Testing
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Mr. Claus Puhr null

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Mr. Andre O Santos
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Mr. Christian Schmieder
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Salih N. Neftci null

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Mr. Benjamin Neudorfer null

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Mr. Stefan W. Schmitz null

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Mr. Heiko Hesse
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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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IMF Working Papers