Stress Testing Liquidity Risk: The Case of the Brazilian Banking System
AbstractThis paper discusses the effects of the recent financial crisis on the Brazilian banking system. It discusses how liquidity risks have risen during the crisis and preventive measures that were taken in order to cope with these risks. It presents the liquidity stress testing approach that is under use in the Central Bank of Brazil and results from a survey on liquidity stress testing that has been applied to banks that operate in the Brazilian banking system.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 302.
Date of creation: Dec 2012
Date of revision:
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Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-08 (All new papers)
- NEP-BAN-2013-02-08 (Banking)
- NEP-CBA-2013-02-08 (Central Banking)
- NEP-FMK-2013-02-08 (Financial Markets)
- NEP-LAM-2013-02-08 (Central & South America)
- NEP-RMG-2013-02-08 (Risk Management)
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