Next-generation system-wide liquidity stress testing
Heiko Hesse, Benjamin Neudorfer, Claus Puhr, Christian Schmieder, Stefan W Schmitz, 1 February 2012
The global financial crisis has shown that neglecting liquidity risk comes at a substantial price. This column presents a new framework to run system-wide, balance sheet data–based liquidity stress tests. The liquidity framework includes a module to simulate the impact of bank-run type scenarios, a module to assess risks arising from maturity transformation and rollover risks, and a framework to link liquidity and solvency risks.
Full Article: Next-generation system-wide liquidity stress testing
