Abstract

http://ssrn.com/abstract=1997716
 
 

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Next Generation System-Wide Liquidity Stress Testing


Heiko Hesse


International Monetary Fund (IMF)

Christian Schmieder


International Monetary Fund

Claus Puhr


Oesterreichische Nationalbank (OeNB)

Benjamin Neudorfer


affiliation not provided to SSRN

Stefan W. Schmitz


Oesterreichische Nationalbank (OeNB); University of Vienna - Institute Vienna Circle (IVC)

Janurary 2012

IMF Working Paper No. 12/3

Abstract:     
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 management

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Date posted: February 2, 2012  

Suggested Citation

Hesse, Heiko and Schmieder, Christian and Puhr, Claus and Neudorfer, Benjamin and Schmitz, Stefan W., Next Generation System-Wide Liquidity Stress Testing (Janurary 2012). IMF Working Paper No. 12/3. Available at SSRN: http://ssrn.com/abstract=1997716

Contact Information

Heiko Hesse (Contact Author)
International Monetary Fund (IMF) ( email )
700 19th Street, N.W.
Washington, DC 20431
United States
Christian Schmieder
International Monetary Fund ( email )
Washington DC
United States
Claus Puhr
Oesterreichische Nationalbank (OeNB) ( email )
Otto-Wagner-Platz 3
1090 Vienna
Austria
Benjamin Neudorfer
affiliation not provided to SSRN
No Address Available
Stefan W. Schmitz
Oesterreichische Nationalbank (OeNB) ( email )
Otto-Wagner Platz 3
POB 61
Vienna 1011
Austria
University of Vienna - Institute Vienna Circle (IVC) ( email )
Spitalgasse 2-4, Court 1
Vienna, 1090
Austria
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