Solvency affects liquidity risk, says IMF

10 Jan 2012

Bank solvency should be factored into liquidity risk calculations IMF economists say, in a paper published the day after it became clear Basel III’s liquidity coverage ratio would come into force from 2015.

The liquidity stress testing model, designed by IMF economists and presented in a working paper on Monday, assesses the effect of changes in solvency on access to liquidity, as well as modelling for a bank run and taking into account maturity gaps.

The working paper comes a ...

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