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The Resource Next Generation System-Wide Liquidity Stress Testing, Claus Puhr

Next Generation System-Wide Liquidity Stress Testing, Claus Puhr

Label
Next Generation System-Wide Liquidity Stress Testing
Title
Next Generation System-Wide Liquidity Stress Testing
Statement of responsibility
Claus Puhr
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
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
Member of
Cataloging source
DcWaIMF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Puhr, Claus
Government publication
international or intergovernmental publication
LC call number
K4452.I57
LC item number
P847 2012 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Hesse, Heiko
  • Neftci, Salih N
  • Neudorfer, Benjamin
  • Puhr, Claus
  • Santos, Andre
  • Schmieder, Christian
  • Schmitz, Stefan W
Series statement
IMF Working Paper
Series volume
WP/12/3
http://library.link/vocab/subjectName
  • Basel III
  • Cash Flow
  • Financial Institutions and Services: General
  • General Financial Markets: General (Includes Measurement and Data)
  • Liquidity
  • Maturity
  • Austria
  • Iceland
  • Kazakhstan
  • Romania
  • United Kingdom
Label
Next Generation System-Wide Liquidity Stress Testing, Claus Puhr
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2012003
Dimensions
unknown
Extent
1 online resource (61 pages)
Form of item
online
Isbn
9781475502466
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475502466.001
Specific material designation
remote
System control number
(IMF)WPIEA2012003
Label
Next Generation System-Wide Liquidity Stress Testing, Claus Puhr
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2012003
Dimensions
unknown
Extent
1 online resource (61 pages)
Form of item
online
Isbn
9781475502466
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781475502466.001
Specific material designation
remote
System control number
(IMF)WPIEA2012003

Library Locations

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      5998 Alcalá Park, San Diego, CA, 92110-2492, US
      32.771471 -117.187496
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