BCBS WP24

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Definition

BCBS WP24 is a document published by the Basel Committee on Banking Supervision on October 2013 in the Liquidity Risk category.

Title

Liquidity stress testing: a survey of theory.

Abstract

Stress-testing is an important tool in developing a complete picture of an institution's liquidity risk profile. What constitutes a good stress test is, however, not universally clear. Practices still differ widely, not only in the supervisory community, but also in the banking industry. The Research Task Force's Workgroup on Liquidity Stress-Testing was mandated to draft a survey on current practices, identify gaps and- where possible - suggest ways forward.

This survey has been written with the broader supervisory community in mind. The Workgroup believes this would include a wide range of functions: for example, micro-prudential line supervisors, staff of supervisory institutions involved with liquidity stress tests, macroprudential regulators and supervisors. Many of the findings are, however, also relevant for risk managers in banks, given their role in measuring their institution's liquidity risk profile and enforcing risk limits. The key messages could also be helpful in future efforts to develop more guidance with regard to liquidity stress-testing.

Working Paper No 25, an annex to the survey, provides a more detailed review of academic literature pertaining to liquidity stresses.

Document Profile

  • Publication Date: October 2013
  • Publication Type: Working Papers
  • Publication Status: Current
  • Publication Category: Liquidity Risk
  • Number of Pages: 71
  • Keywords: Liquidity, Stress Testing, Liquidity Risk

See Also

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