3. Scenario Analysis and Stress Testing

  1. Leonard Matz and
  2. Peter Neu
  1. Leonard Matz

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390399.ch3

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

How to Cite

Matz, L. (2006) Scenario Analysis and Stress Testing, in Liquidity Risk Measurement and Management: A practitioner's guide to global best practices (eds L. Matz and P. Neu), John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390399.ch3

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 27 OCT 2006

ISBN Information

Print ISBN: 9780470821824

Online ISBN: 9781118390399

SEARCH

Keywords:

  • stress testing;
  • liquidity risk;
  • liquidity risk professionals;
  • sensitivity analysis;
  • extreme value analysis

Summary

This chapter contains sections titled:

  • Introduction

  • Defining Scenarios

  • Stress Testing and Sensitivity Analysis

  • Where do the Numbers Come From?

  • Stress Test Procedures

  • Conclusion

  • Notes