Stress testing and contingency funding plans: an analysis of current practices in the Luxembourg banking sector
AbstractThis 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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Bibliographic InfoPaper provided by Central Bank of Luxembourg in its series BCL working papers with number 42.
Length: 48 pages
Date of creation: Dec 2009
Date of revision:
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Web page: http://www.bcl.lu/
liquidity risk; liquidity stress testing; contingency funding plan; principal component analysis.;
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- ?tefan Rychtárik, 2009. "Liquidity Scenario Analysis in the Luxembourg Banking Sector," BCL working papers 41, Central Bank of Luxembourg.
- repec:fip:fedgsq:y:2007:x:63 is not listed on IDEAS
- Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.
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