Liquidity stress test: Difference between revisions
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In the regulatory context, the European Securities and Markets Authority (ESMA) defines liquidity stress testing as a risk management tool - within the overall liquidity risk management framework of an asset manager - which simulates a range of conditions, including: normal and stressed (i.e. extreme, unlikely or unfavourable) plausible conditions, to assess their potential impact on the funding (liability), assets, overall liquidity of a fund, and - importantly - the necessary follow-up action. | |||
The UK's Financial Conduct Authority follows this definition. | The UK's Financial Conduct Authority (FCA) follows this definition as well. | ||
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* [[Financial Conduct Authority]] (FCA) | * [[Financial Conduct Authority]] (FCA) | ||
* [[Fund]] | * [[Fund]] | ||
* [[Funding]] | |||
* [[Idiosyncratic stress]] | * [[Idiosyncratic stress]] | ||
* [[Liquidity]] | * [[Liquidity]] | ||
* [[Liquidity risk]] | * [[Liquidity risk]] | ||
* [[Liquidity stress]] | * [[Liquidity stress]] | ||
* [[Model]] | * [[Model]] | ||
* [[Reverse stress test]] | * [[Reverse stress test]] | ||
* [[Risk management]] | |||
* [[Scenario analysis]] | * [[Scenario analysis]] | ||
* [[Sensitivity analysis]] | * [[Sensitivity analysis]] | ||
| Line 39: | Line 40: | ||
==Other resources== | ==Other resources== | ||
*[https://www.fca.org.uk/publications/multi-firm-reviews/liquidity-management-multi-firm-review Liquidity stress testing - liquidity management multi-firm review | *[https://www.fca.org.uk/publications/multi-firm-reviews/liquidity-management-multi-firm-review Liquidity stress testing - liquidity management multi-firm review - UK Financial Conduct Authority (FCA) - 2023] | ||
*[https://www.handbook.fca.org.uk/L3G/UCITS/esma34-39-882_final_report_guidelines_on_lst_in_ucits_and_aifs.pdf Guidelines on liquidity stress testing in UCITS and AIFs - European Securities and Markets Authority (ESMA) - 2019] | *[https://www.handbook.fca.org.uk/L3G/UCITS/esma34-39-882_final_report_guidelines_on_lst_in_ucits_and_aifs.pdf Guidelines on liquidity stress testing in UCITS and AIFs - European Securities and Markets Authority (ESMA) - 2019] | ||
[[Category:Accounting,_tax_and_regulation]] | [[Category:Accounting,_tax_and_regulation]] | ||
Latest revision as of 08:32, 30 July 2024
1. Treasury - liquidity risk - liquidity risk management - stress testing - regulation - European Securities and Markets Authority (ESMA) - UK - Financial Conduct Authority (FCA).
(LST).
In the regulatory context, the European Securities and Markets Authority (ESMA) defines liquidity stress testing as a risk management tool - within the overall liquidity risk management framework of an asset manager - which simulates a range of conditions, including: normal and stressed (i.e. extreme, unlikely or unfavourable) plausible conditions, to assess their potential impact on the funding (liability), assets, overall liquidity of a fund, and - importantly - the necessary follow-up action.
The UK's Financial Conduct Authority (FCA) follows this definition as well.
2. Treasury - liquidity risk - liquidity risk management - stress testing.
Similar activity in other contexts.
See also
- AIF
- Asset manager
- Back test
- Biennial exploratory scenario
- Black swan
- European Securities and Markets Authority (ESMA)
- Financial Conduct Authority (FCA)
- Fund
- Funding
- Idiosyncratic stress
- Liquidity
- Liquidity risk
- Liquidity stress
- Model
- Reverse stress test
- Risk management
- Scenario analysis
- Sensitivity analysis
- Shock
- Stress
- Stress test
- System-wide exploratory scenario (SWES) UK
- Undertaking for collective investments in transferable securities (UCITS)
