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Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems
Author:
Andreas Jobst
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,
Ms. Li L Ong
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Mr. Christian Schmieder
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Series:
IMF Working Papers
Volume/Issue:
Volume 2017: Issue 102
Language:
English
Publication Date:
01 May 2017
DOI:
https://doi.org/10.5089/9781475597240.001
ISBN:
9781475597240
ISSN:
1018-5941
Pages:
56
Keywords:
WP; bank; funding; risk; Basel III; cash flow-based approach; liquidity risk; liquidity coverage ratio (LCR); net stable funding ratio (NSFR); solvency risk; stress testing; solvency concern; Basel III liquidity framework; liquidity condition; liquidity buffer; funding market; funding condition; liquidity shock; risk framework; solvency condition; market liquidity; bank supervisor; Liquidity stress testing; Liquidity; Liquidity management; Africa
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify, model and assess the impact of liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not only by data limitations but also by interactions among multiple factors. This paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund