Of Runes and Sagas: Perspectiveson Liquidity Stress Testing Using An Iceland Example
The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, where now-obvious vulnerabilities were left largely undetected, with stress tests having l...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2010
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 10/156 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, where now-obvious vulnerabilities were left largely undetected, with stress tests having largely focused on solvency risk. This paper uses publicly available data from a now-defunct bank in Iceland, where liquidity shocks were immense, to demonstrate how a combination of stress tests of the various risks would have provided a clearer picture of existing vulnerablities. We show that, ultimately, stress test models do not necessarily need to be complex or overly sophisticated. Basic stress tests, using appropriate assumptions and shocks, could reveal key areas of risk to inform contingency planning. The liquidity stress test templates used in this paper are included |
| Beschreibung: | 1 Online-Ressource (28 p) |
| ISBN: | 1455201391 9781455201396 |
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| spelling | Cihák, Martin Verfasser aut Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example Cihák, Martin Washington, D.C International Monetary Fund 2010 1 Online-Ressource (28 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/156 The global financial crisis revealed weaknesses in the stress testing exercises performed on financial institutions and systems around the world. These failures were most evident in the area of liquidity risk, where now-obvious vulnerabilities were left largely undetected, with stress tests having largely focused on solvency risk. This paper uses publicly available data from a now-defunct bank in Iceland, where liquidity shocks were immense, to demonstrate how a combination of stress tests of the various risks would have provided a clearer picture of existing vulnerablities. We show that, ultimately, stress test models do not necessarily need to be complex or overly sophisticated. Basic stress tests, using appropriate assumptions and shocks, could reveal key areas of risk to inform contingency planning. The liquidity stress test templates used in this paper are included Online-Ausg Ong, Li L. Sonstige oth http://elibrary.imf.org/view/IMF001/11108-9781455201396/11108-9781455201396/11108-9781455201396.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Cihák, Martin Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example |
| title | Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example |
| title_auth | Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example |
| title_exact_search | Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example |
| title_exact_search_txtP | Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example |
| title_full | Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example Cihák, Martin |
| title_fullStr | Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example Cihák, Martin |
| title_full_unstemmed | Of Runes and Sagas Perspectiveson Liquidity Stress Testing Using An Iceland Example Cihák, Martin |
| title_short | Of Runes and Sagas |
| title_sort | of runes and sagas perspectiveson liquidity stress testing using an iceland example |
| title_sub | Perspectiveson Liquidity Stress Testing Using An Iceland Example |
| url | http://elibrary.imf.org/view/IMF001/11108-9781455201396/11108-9781455201396/11108-9781455201396.xml |
| work_keys_str_mv | AT cihakmartin ofrunesandsagasperspectivesonliquiditystresstestingusinganicelandexample AT onglil ofrunesandsagasperspectivesonliquiditystresstestingusinganicelandexample |