Simulation games prescribed by the supervisory authorities for banks when managing liquidity risks. They are designed to envisage cases that could jeopardize the bank’s solvency, such as – the default of major lenders/borrowers (counterparty risk), – a full or partial withdrawal of interbank deposits, – the inability of a counterparty to deliver the underlying asset under an option contract (replacement risk), or – the decline in the price of securities in the liquidity reserve. – See asset quality review, Basel-II, balance sheet capping, balance sheet tricks, sovereign, comprehensive assessment, crash, fulfillment, emerging markets, extreme event, negative, granularity, large exposures, Herfindahl-Hirschman index, Klumprisiko, concentration risk, loan securitization, liquidity crisis plan, liquidity management, minimum risk management requirements, panic selling, price changes, concurrent, risk department, risk weighting, risk control, risk measurement procedures, risk reporting, risk monitoring, articulated, shock management, monetary, stress testing, System Securities Watch Application, confidence hypertrophy. – See BaFin’s 2004 Annual Report, pp. 88 ff. (model approaches in practice; backtesting results) and the respective BaFin Annual Report (section “Risk Models”), BaFin’s 2007 Annual Report, pp. 115 f. (supervisory regulations on liquidity risk management), BaFin’s 2008 Annual Report, p. 56 (new regulations on liquidity risk management).
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University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec.
Professor Dr. Eckehard Krah, Dipl.rer.pol.
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