Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

By Andreas Jobst, Li L Ong, Christian Schmieder

May 1, 2017

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Format: Chicago

Andreas Jobst, Li L Ong, and Christian Schmieder. Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems, (USA: International Monetary Fund, 2017) accessed November 21, 2024

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.

Summary

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.

Subject: Asset and liability management, Banking, Financial regulation and supervision, Financial sector policy and analysis, Liquidity, Liquidity management, Liquidity risk, Liquidity stress testing, Stress testing

Keywords: Africa, Bank, Bank supervisor, Basel III, Basel III liquidity framework, Cash flow-based approach, Funding, Funding condition, Funding market, Liquidity, Liquidity buffer, Liquidity condition, Liquidity coverage ratio (LCR), Liquidity management, Liquidity risk, Liquidity shock, Liquidity stress testing, Market liquidity, Net stable funding ratio (NSFR), Risk, Risk framework, Solvency concern, Solvency condition, Solvency risk, Stress testing, WP

Publication Details

Pages:

56
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2017/102
Stock No:

WPIEA2017102
ISBN:

9781475597240
ISSN:

1018-5941

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