Incorporating Liquidity Shocks and Feedbacks in Bank Stress Tests

Jill Cetina
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Jill Cetina: Office of Financial Research

No 15-06, Briefs from Office of Financial Research, US Department of the Treasury

Abstract: This brief discusses how stress tests could incorporate four types of shocks -- to credit, funding, liquidity, and collateral values -- and shows that shocks can affect regulatory ratios for capital and liquidity simultaneously. Additionally, in times of stress, a bank's responses to a binding regulatory ratio can spread shocks to other banks.

Keywords: liquidity Shocks; Bank Stress Tests; Liquidity Coverage Ratio; Leverage Ratio; Risk-based Capital Ratio; Net Stable Funding Ratio; Regulatory Capital (search for similar items in EconPapers)
Pages: 7 pages
Date: 2015-07-22
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Citations: View citations in EconPapers (7)

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