Liquidity Stress Tests for Investment Funds: a Practical Guide
Liquidity Stress Tests for Investment Funds: a Practical Guide
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Author(s): Bouveret, Antoine
ISBN No.: 9781484324783
Pages: 34
Year: 201710
Format: Trade Paper
Price: $ 27.60
Dispatch delay: Dispatched between 7 to 15 days
Status: Available

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.


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