relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …

Advocates for internal model-based capital regulation argue that this approach will reduce costs and remove distortions … convey to bank shareholders when market and credit risk regulatory capital requirements are set using bank internal model … estimates. These subsidies are not uniform across the risk spectrum, and, as a consequence, internal model regulatory capital …