Gouriéroux, Christian; Héam, Jean-Cyprien - Université Paris-Dauphine (Paris IX) - 2014
liquidity risks. The latter risks are consequences of changes in customers or investors’ behaviors and usu- ally concern the … analysis leads to clearly distinguish defaults due to liquidity shortage and defaults due to a lack of solvency and, in a … regulatory perspective, to introduce two reserve accounts, one for liquidity risk, another one for solvency risk. We explain how …