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Stress testing and contingency funding plans: an analysis of current practices in the Luxembourg banking sector

  • Franco Stragiotti

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    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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    File URL: http://www.bcl.lu/fr/publications/cahiers_etudes/42/BCLWP042.pdf
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    Paper provided by Central Bank of Luxembourg in its series BCL working papers with number 42.

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    Length: 48 pages
    Date of creation: Dec 2009
    Date of revision:
    Handle: RePEc:bcl:bclwop:bclwp042
    Contact details of provider: Web page: http://www.bcl.lu/

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    1. ?tefan Rychtárik, 2009. "Liquidity Scenario Analysis in the Luxembourg Banking Sector," BCL working papers 41, Central Bank of Luxembourg.
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