Liquidity Stress Tests for Investment Funds: A Practical Guide

Antoine Bouveret

No 2017/226, IMF Working Papers from International Monetary Fund

Abstract: This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank-fund interlinkages are also covered.

Keywords: WP; fund; liquidity; redemption shock; stress test; investment funds; redemption; HY fund; liquidity buffer; fund manager; bank-fund interlinkage; Liquidity stress testing; Mutual funds; Securities; Bonds; Liquidity requirements; Europe (search for similar items in EconPapers)
Pages: 34
Date: 2017-10-31
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=45332 (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:imf:imfwpa:2017/226

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().