Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems

Andreas Jobst (), Li Ong and Christian Schmieder

No 2017/102, IMF Working Papers from International Monetary Fund

Abstract: Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify, model and assess the impact of liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not only by data limitations but also by interactions among multiple factors. This paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.

Keywords: WP; bank; funding; risk; Basel III; cash flow-based approach; liquidity risk; liquidity coverage ratio (LCR); net stable funding ratio (NSFR); solvency risk; stress testing; solvency concern; Basel III liquidity framework; liquidity condition; liquidity buffer; funding market; funding condition; liquidity shock; risk framework; solvency condition; market liquidity; bank supervisor; Liquidity stress testing; Liquidity; Liquidity management; Africa (search for similar items in EconPapers)
Pages: 56
Date: 2017-05-01
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Citations: View citations in EconPapers (7)

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