Lien utile
- Publications de la Banque centrale européenne
Numéro | 42 |
Date | December 2009 |
Auteur | Franco Stragiotti |
Résumé | 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.
Keywords: liquidity risk, liquidity stress testing, contingency funding plan, principal component analysis. JEL Classification: G21 |
Téléchargement | Cahier d'étude 42 (pdf, 595 KByte) |