Stress testing and contingency funding plans: an analysis of current practices in the Luxembourg banking sector

Franco Stragiotti ()

No 42, BCL working papers from Central Bank of Luxembourg

Abstract: This paper analyzes the current practices adopted by a sample of Luxembourg banks on liquidity stress testing and contingency funding plans. The paper covers four main topics: liquidity stress testing coverage, scenario design, policy issues and contingency funding plans. We compare, when relevant, these results to a larger sample of EU peer banks. The results, collected through a questionnaire addressed to forty-seven banking groups, are analyzed by the means of the principal component technique. The paper also highlights the main features and shortcomings of local banks in this field.

Keywords: liquidity risk; liquidity stress testing; contingency funding plan; principal component analysis. (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2009-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bcl:bclwop:bclwp042

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