Next Generation System-Wide Liquidity Stress Testing
International Monetary Fund (IMF)
International Monetary Fund
Oesterreichische Nationalbank (OeNB)
affiliation not provided to SSRN
Stefan W. Schmitz
Oesterreichische Nationalbank (OeNB); University of Vienna - Institute Vienna Circle (IVC)
IMF Working Paper No. 12/3
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.
Number of Pages in PDF File: 61
Keywords: Bank supervision, Banks, Financial risk, Liquidity management, Risk managementworking papers series
Date posted: February 2, 2012
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