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Stress Testing and Contingency Funding Plans: An Analysis of Current Practices in the Luxembourg Banking Sector (Stragiotti F.)

Bank Systems Liquidity Risk-taking and Risk Management

Abstract This paper analyzes the current practices adopted by a sample of Luxembourg banks on liquidity stress testing and contingency funding plans. The paper covers four main topics: liquidity stress testing coverage, scenario design, policy issues and contingency funding plans. We compare, when relevant, these results to a larger sample of EU peer banks. The results, collected through a questionnaire addressed to forty-seven banking groups, are analyzed by the means of the principal component technique. The paper also highlights the main features and shortcomings of local banks in this field.
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Libref/ Stragiotti F. (2009) “Stress Testing and Contingency Funding Plans: An Analysis of Current Practices in the Luxembourg Banking Sector”, Banque Centrale du Luxembourg, № 42, pp. 1-48
© Программирование — Александр Красильников, 2008
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