Komarkova, Zlatuse; Gersl, Adam; Komarek, Lubos - Česká Národní Banka - 2011
We provide a macro stress-testing model for banks' market and funding liquidity risks with a survival period of one and three months. The model takes into account the impact of both bank-specific and market-wide scenarios and considers both the first- and second-round effects of shocks. The...