Liquidity Scenario Analysis in the Luxembourg Banking Sector

?tefan Rychtárik ()

No 41, BCL working papers from Central Bank of Luxembourg

Abstract: This paper aims to develop the basis for an approach to measure the liquidity risk sensitivity of banks in Luxembourg and to test it on real banking sector data. For this purpose we have developed four different scenarios: run on a bank, use of committed loans by counterparties, netting of the position with the parent financial group and changes in conditions of refinancing operations with the Eurosystem. The impact of all four simulations is measured by relative changes of liquidity ratios that have been introduced for this purpose. In a second step, this methodology is tested on a sample of 32 banks active in the Luxembourg banking sector aiming at identifying the most severe scenario or a combination of scenarios and the most vulnerable banks of the sample.

Keywords: Liquidity risk; Scenario analysis; Banking sector; Stress testing (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2009-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/41/BCLWP041.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcl:bclwop:bclwp041

Access Statistics for this paper

More papers in BCL working papers from Central Bank of Luxembourg Contact information at EDIRC.
Bibliographic data for series maintained by ().