April 28, 2023 (NO COMMENTS)

Experts disagree on whether internal stress tests should include emergency facilities

Bank liquidity risk experts are divided on whether or not internal liquidity risk models should take into account potential central bank support in stressed conditions. Dimitris Papathanasiou, the head of global funding concentration and international treasury risk at Credit Suisse, told a Risk.net webinar on April 26 that modelling of potential liquidity stress scenarios should never assume the potential to access central bank emergency facilities. “When you do your internal models, you