Random drawing might fill gaps in liquidity risk data

HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing

Lucky dip
Take your pick: extrapolating data from random examples could aid banks in liquidity stress testing

Adopting a bootstrapped approach to liquidity stress testing could help banks overcome a lack of historical data on liquidity risk drivers – a common problem that has hampered their ability to conduct stress tests.

The approach is proposed in an October 2015 paper in the Journal of Risk Model Validation by Marco Geidosch, a risk controller at HypoVereinsbank in Munich. His work reflects the fact that although liquidity risk has risen to the top of the risk management agenda, the data banks hold

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