Liquidity Stress Test For Investment Funds
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Liquidity Stress Tests For Investment Funds A Practical Guide
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Author : Antoine Bouveret
language : en
Publisher: International Monetary Fund
Release Date : 2017-10-31
Liquidity Stress Tests For Investment Funds A Practical Guide written by Antoine Bouveret and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-31 with Business & Economics categories.
This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank-fund interlinkages are also covered.
Liquidity Stress Test For Investment Funds
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Author : Antoine Bouveret
language : en
Publisher:
Release Date : 2017
Liquidity Stress Test For Investment Funds written by Antoine Bouveret and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank-fund interlinkages are also covered.
Sweden
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2023-05-25
Sweden written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-05-25 with Business & Economics categories.
Sweden’s financial system has weathered the COVID-19 pandemic well. Strong macro- fundamentals, regulatory capital buffers exceeding minimum requirements by a wide margin, ample liquidity reserves of banks, and prompt market liquidity support measures by the authorities helped the financial system exit the COVID-19 crisis without a significant impact on profitability, including loan portfolio losses.
Luxembourg
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2024-06-24
Luxembourg written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-06-24 with categories.
The Luxembourg financial system is highly interconnected, diverse and complex. It has displayed a high level of resilience in the past but currently faces a backdrop of heightened economic, financial, and geopolitical uncertainty. Investment funds have grown since the 2017 FSAP, while their connections to other funds, banks, nonbank financial intermediaries, and foreign entities have also increased. The domestic banks are exposed to the ongoing downturn in credit and house price cycles, especially in the high-risk mortgage segment with floating-rate loans. Securities portfolios in large banks are mostly held-to-maturity and spread across euro area issuers. Against the risks, the financial system maintains higher capital ratios than euro area peers, has low but rising nonperforming loans, and benefits from government support measures to the private sector from an AAA-rated sovereign.
Thailand
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2019-10-24
Thailand written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-24 with Business & Economics categories.
This technical note on the risk assessment for Thailand discusses that the Thai banking system shows a substantial resilience to severe shocks. The solvency stress tests indicate that the largest banks can withstand an adverse scenario broadly as severe as the Asian financial crisis. While three banks would deplete their capital conservation buffer (CCB) under the adverse scenario, recapitalization needs would be minimal. A battery of complementary sensitivity stress tests, which allows to cover in more detail certain risk factors, also confirmed the overall picture of a resilient baking system: no particular vulnerability emerged from the analysis of the bond portfolio to an increase in government and corporate spreads, exposure to foreign exchange risk, and concentration risk in the loan portfolio, with the possible exception of one entity with a particular concentration on single-name exposures. The liquidity stress test on investment funds (IFs) showed that they would be able to withstand a severe redemption shock and its impact on the banks and the bond market would be limited.
Bond Funds And Fixed Income Market Liquidity
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Author : Rohan Arora
language : en
Publisher:
Release Date : 2019
Bond Funds And Fixed Income Market Liquidity written by Rohan Arora and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Bond funds categories.
Luxembourg
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2024-06-24
Luxembourg written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-06-24 with categories.
Strong policy support and high financial buffers are helping the financial sector weather the consecutive shocks, but pre-pandemic vulnerabilities have continued to rise. Ultra loose financial conditions, in part as a consequence of ECB’s monetary policy, have contributed to increased households’ indebtedness and stretched asset prices. Specifically, real estate prices had grown rapidly over 2018–22 with signs of overvaluation. Households’ indebtedness continued to rise, although partly mitigated by high households’ net wealth. These mounting real estate vulnerabilities prompted measures from the authorities, including on the macroprudential front, that bolstered the resilience of the banking sector but had mixed effects on the risk profile of new mortgages. The average LTV has dropped but the impact on DSTI and DTI has been more muted.
Next Generation System Wide Liquidity Stress Testing
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Author : Mr.Claus Puhr
language : en
Publisher: International Monetary Fund
Release Date : 2012-01-01
Next Generation System Wide Liquidity Stress Testing written by Mr.Claus Puhr and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-01 with Business & Economics categories.
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.
Macroprudential Liquidity Stress Testing In Fsaps For Systemically Important Financial Systems
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2017-05-02
Macroprudential Liquidity Stress Testing In Fsaps For Systemically Important Financial Systems written by Mr.Andreas A. Jobst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-05-02 with Business & Economics categories.
Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis, remains underdeveloped compared to solvency stress testing. The ability to adequately identify, model and assess the impact of liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not only by data limitations but also by interactions among multiple factors. This paper provides a conceptual overview of liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment Program (FSAP) for countries with systemically important financial sectors over the last six years.
Macrofinancial Stress Testing Principles And Practices Background Material
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Author : International Monetary Fund. Monetary and Capital Markets Department
language : en
Publisher: International Monetary Fund
Release Date : 2012-08-29
Macrofinancial Stress Testing Principles And Practices Background Material written by International Monetary Fund. Monetary and Capital Markets Department and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-29 with Business & Economics categories.
Staff conducted a survey of stress testing practices among selected national central banks and supervisory authorities. The online survey was undertaken in November 2011 as part of the preparatory work for the paper on ?Macrofinancial Stress Testing: Principles and Practices. The survey focused on stress testing for banks, which is more widespread and better established—and practices are therefore easier to compare across countries—but also included questions on stress testing for nonbank financial institutions.