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Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …

Persistent link: https://www.econbiz.de/10009006653

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Stress testing with multi-faceted liquidity : the central bank collateral framework as a financial stability tool

Cuzzola, Angelo; Barbieri, Claudio; Bindseil, Ulrich - 2023

The paper studies the central bank collateral framework and its impact on banks' liquidity under an adverse stress test scenario. We construct a stress test model that accounts for a granular and multi-faceted representation of the liquidity of marketable and non-marketable assets. In...

Persistent link: https://www.econbiz.de/10014315179