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|z 9781475502466
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Puhr, Claus.
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|a Next Generation System-Wide Liquidity Stress Testing /
|c Claus Puhr, Andre Santos, Christian Schmieder, Salih Neftci.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2012.
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| 300 |
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|a 1 online resource (61 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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.
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|a Mode of access: Internet
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|a Neftci, Salih.
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|a Santos, Andre.
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|a Schmieder, Christian.
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|a IMF Working Papers; Working Paper ;
|v No. 2012/003
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2012/003/001.2012.issue-003-en.xml
|z IMF e-Library
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