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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free registration? Click here

This address will be used to create your account

Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here