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Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems /
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
[2017]
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| Colección: | IMF working paper ;
WP/17/102. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover; Contents; I. Introduction; II. Why Stress Test for Liquidity Risk?; A. Premise ; B. Concept; III. A Framework for Bank Liquidity Stress Testing; A. Scope; B. Scenario Design; C. Methodology; D. Communication; IV. Caveats; V. Conclusion; References; Tables; 1. S-29 and Other G-20 Countries: Status of FSAPs since FY 2010 S-29 and Other G-20 Countries: Status of FSAPs since FY 2010; 2. Liquidity Risk: Regulatory Initiatives on Liquidity Risk; 3. Overview of Liquidity Indicators; 4. A Framework for Macroprudential Bank Liquidity Stress Testing; Figures.
- 1. Conceptualization of Liquidity Risk2. Implied Cash Flow Tests-Distribution; 3. Example of Output Template Provided to Authorities; Box; 1. The Role of Central Banks and Parent Banks as Liquidity Backstops; Appendices; I. FSAP Liquidity Stress Tests since FY2011; II. Funding and Market Liquidity; III. Regulatory Liquidity Risk Measures under Basel III: LCR and NSFR; IV. The Interaction and Integration of Solvency and Liquidity Risks; V. Liquidity Stress Testing Using Implied Cash Flows; VI. Liquidity Stress Testing: Reporting Template; VII. Cash Flow-Based Liquidity Stress Tests.
- Appendix Tables1. Liquidity Stress Test Matrix (STeM) for FSAPs for Systemically Important Financial Systems (Illustrative); 2. Overview of the Basel II and III Capital Requirements and Liquidity Standards; 3. Liquidity Stress Test Tool-Summary of Assumptions; 4. Liquidity Stress Test Results-Implied Cash Flow Tests.