Liquidity stress test

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
• 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)

Other resources

• Liquidity stress testing - liquidity management multi-firm review]
• Guidelines on liquidity stress testing in UCITS and AIFs - European Securities and Markets Authority (ESMA) - 2019