Next Generation System-Wide Liquidity Stress Testing

61 Pages Posted: 2 Feb 2012

See all articles by Heiko Hesse

Heiko Hesse

International Monetary Fund (IMF)

Christian Schmieder

Bank for International Settlements (BIS)

Claus Puhr

Oesterreichische Nationalbank (OeNB)

Benjamin Neudorfer

affiliation not provided to SSRN

Stefan W. Schmitz

Oesterreichische Nationalbank (OeNB); Vienna Circle Society

Date Written: Janurary 2012

Abstract

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from maturity transformation and rollover risks, implemented either in a simplified manner or as a fully-fledged cash flow-based approach; and (c) a framework to link liquidity and solvency risks. The framework also allows the simulation of how banks cope with upcoming regulatory changes (Basel III), and accommodates differences in data availability. A case study shows the impact of a "Lehman" type event for stylized banks.

Keywords: Bank supervision, Banks, Financial risk, Liquidity management, Risk management

Suggested Citation

Hesse, Heiko and Schmieder, Christian and Puhr, Claus and Neudorfer, Benjamin and Schmitz, Stefan W., Next Generation System-Wide Liquidity Stress Testing (Janurary 2012). IMF Working Paper No. 12/3, Available at SSRN: https://ssrn.com/abstract=1997716

Heiko Hesse (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Christian Schmieder

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Claus Puhr

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner-Platz 3
1090 Vienna
Austria

Benjamin Neudorfer

affiliation not provided to SSRN

No Address Available

Stefan W. Schmitz

Oesterreichische Nationalbank (OeNB) ( email )

Otto-Wagner Platz 3
POB 61
Vienna 1011
Austria

Vienna Circle Society ( email )

Spitalgasse 2-4, Court 1
Vienna, 1090
Austria

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