2012/07/20, Basel: Research Task Force of the BCBS "Liquidity Stress Testing"

LRC presents its Liquidity Stress Testing Methodology

The Research Task Force (RTF) of the Basel Committee on Banking Supervision (BCBS) recently mandated its Subgroup on Liquidity Stress Testing (RTF LST) to take stock of the current practices used to measure and stress test for liquidity risk. The RTF LST members are delegates of supervisory authorities and / or national banks of about 20 jurisdictions.

As a first step the group aims to compile a taxonomy of the approaches available for liquidity stress testing including a technical overview and assessment of the strengths and weaknesses of current practices.

This taxonomy could then be used to develop improvements for liquidity stress testing processes.

As one of the inputs, the RTF LST surveys existing liquidity stress testing approaches applied by banks themselves including vendors' solutions offered to banks to carry out liquidity stress tests

internally.