Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems / by Andreas A. Jobst, Li Lian Ong and Christian Schmieder.

Print version record.

Cover; Contents; I. Introduction; II. Why Stress Test for Liquidity Risk?; A. Premise ; B. Concept; III. A Framework for Bank Liquidity Stress Testing; A. Scope; B. Scenario Design; C. Methodology; D. Communication; IV. Caveats; V. Conclusion; References; Tables; 1. S-29 and Other G-20 Countries: Status of FSAPs since FY 2010 S-29 and Other G-20 Countries: Status of FSAPs since FY 2010; 2. Liquidity Risk: Regulatory Initiatives on Liquidity Risk; 3. Overview of Liquidity Indicators; 4. A Framework for Macroprudential Bank Liquidity Stress Testing; Figures.

1. Conceptualization of Liquidity Risk2. Implied Cash Flow Tests-Distribution; 3. Example of Output Template Provided to Authorities; Box; 1. The Role of Central Banks and Parent Banks as Liquidity Backstops; Appendices; I. FSAP Liquidity Stress Tests since FY2011; II. Funding and Market Liquidity; III. Regulatory Liquidity Risk Measures under Basel III: LCR and NSFR; IV. The Interaction and Integration of Solvency and Liquidity Risks; V. Liquidity Stress Testing Using Implied Cash Flows; VI. Liquidity Stress Testing: Reporting Template; VII. Cash Flow-Based Liquidity Stress Tests.

Appendix Tables1. Liquidity Stress Test Matrix (STeM) for FSAPs for Systemically Important Financial Systems (Illustrative); 2. Overview of the Basel II and III Capital Requirements and Liquidity Standards; 3. Liquidity Stress Test Tool-Summary of Assumptions; 4. Liquidity Stress Test Results-Implied Cash Flow Tests.

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.

eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - Worldwide