Liquidity Stress Tests For Investment Funds A Practical Guide
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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.
Risk Management For Investment Funds A Practical Guide For European Funds In International Markets
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Author : Luc Neuberg
language : en
Publisher: McGraw Hill Professional
Release Date : 2023-02-14
Risk Management For Investment Funds A Practical Guide For European Funds In International Markets written by Luc Neuberg and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-14 with Business & Economics categories.
The first comprehensive risk management guide to European investment funds The European investment fund market is one of the biggest financial markets in the world—with a total value of approximately 22 trillion EUR. To help investors understand how risk is managed in this vast market, Risk Management for Investment Funds provides a comprehensive yet practical guide, written by four financial experts from diverse and complementary backgrounds: former heads of risk management, university teachers, professional trainers and an expert with a supervisory financial authority. Risk Management for Investment Funds offers valuable insights into managing risk for UCITS funds and alternative investment funds, while covering the following aspects: The framework of European investment funds Regulatory requirements related to risk management that apply to funds and fund managers Traditional market, liquidity, credit, counterparty and operational risks faced by funds, their managers and investors Emerging risks related to climate change and technology Analytical methods and innovative techniques developed by successful risk managers to assess and manage risks, as well as the theories underlying them Packed with a wealth of information that cannot be found in other books on risk management, this authoritative guide to managing the risks of European funds is the most comprehensive publication on this important topic.
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.
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.
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.
Liquidity Risk Measurement And Management
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Author : Leonard Matz
language : en
Publisher: John Wiley & Sons
Release Date : 2006-11-10
Liquidity Risk Measurement And Management written by Leonard Matz and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11-10 with Business & Economics categories.
Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management’s attention to liquidity risk. Banks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability. Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices provides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book.
Stress Testing At The Imf
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05
Stress Testing At The Imf written by Mr.Tobias Adrian 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 2020-02-05 with Business & Economics categories.
This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Macroprudential Solvency Stress Testing Of The Insurance Sector
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Author : Mr.Andreas A. Jobst
language : en
Publisher: International Monetary Fund
Release Date : 2014-07-22
Macroprudential Solvency Stress Testing Of The Insurance Sector 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 2014-07-22 with Business & Economics categories.
Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.
A Practical Guide To Ucits Funds And Their Risk Management
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Author : Charles Muller
language : en
Publisher: Edipro
Release Date : 2013
A Practical Guide To Ucits Funds And Their Risk Management written by Charles Muller and has been published by Edipro this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Financial risk management categories.
UCITS funds today represent a major share of European funds. The European directives started with UCITS I in the mid 1980s, and have been amended up to UCITS IV in 2009, to be followed soon by a UCITS V package. In its first part, this book is summarizing the evolution and features of these successive sets of European regulations. Among others, it covers the UCITS eligible assets, the key parties involved in UCITS funds operations, their reporting and information requirements, taxation and many other useful related subjects, to give a short but useful understanding of the UCITS world. Besides, the UCITS IV directive is entering into the risk management field, which is materialized by the issue of a key document entitled Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS (the famous ref. 10-788 Guidelines of the Committee of the European Securities Regulators "CESR"). These Guidelines require some technical skills: the second part of this book reproduces the CESR's Guidelines, punctuated with comments and prerequisites of quantitative finance, to help for a better understanding of the content and significance of this UCITS IV objective.