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 …

This paper presents a simple heuristic measure of tail risk, which is applied to individual bank stress tests and to …

business risk of asset managers acts as strong motivation for institutional herding and ‘rational bubble-riding.' Two key …

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …

This paper explains the treatment of sovereign risk in macroprudential solvency stress testing, based on the … of sovereign risk: scope, loss estimation, shock calibration, and capital impact calculation. Most importantly, a market …-consistent valuation approach lies at the heart of assessing the resilience of the financial sector in a tail risk scenario with sovereign …

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects … effects of interconnectedness structures that are consistent with markets' perceptions of risk. We then show how SE losses can …