A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks
Year of publication: |
2009-03
|
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Authors: | Wong, Eric ; Hui, Cho-Hoi |
Institutions: | Hong Kong Monetary Authority |
Subject: | Liquidity risk | stress testing | default risk | banks |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 0906 33 pages |
Classification: | C60 - Mathematical Methods and Programming. General ; G13 - Contingent Pricing; Futures Pricing ; G28 - Government Policy and Regulation |
Source: |
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