Liquidity risk stress test: new trends and methods

Pasquale La Ganga and Gianluca Trevisan
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Pasquale La Ganga: Banca d’Italia
Gianluca Trevisan: Banca d’Italia

BANCARIA, 2010, vol. 12, 59-75

Abstract: The recent international financial crisis has clearly outlined the need to integrate liquidity risk measurement with stress tests.The introduction of these practices is an important tool for liquidity risk management, for the correct determination of the liquidity buffer, for the development of risk mitigation or contingency plans across a range of stressed conditions. Particularly important are the organizational implications of stress testing practices and the definition of a model for the spreading short-term components across different maturity ranges

Keywords: liquidity risk; stress test; requisiti patrimoniali (search for similar items in EconPapers)
JEL-codes: C15 G21 G28 (search for similar items in EconPapers)
Date: 2010
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