. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several …

liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several …

the probability of financial crisis. It finds that greater tax bias is associated with significantly higher aggregate bank …

presence of both regulatory constraints and tax asymmetries, this paper explores the impact of corporate tax bias on bank …

put more pressure on the banks' capital. Given high bank concentration and large offshore wholesale funding needs, the …

A mechanism is proposed that aims to reduce the risk of a banking sector liquidity crisis — which is a quintessentially …

bank may choose insufficient liquidity buffers and transparency. The regulatory response is constained: while liquidity … accumulate a buffer of liquid assets, or strengthen transparency to communicate solvency. While a liquidity buffer provides … buffers can be imposed, transparency is not verifiable. Moreover, liquidity requirements can compromise banks' transparency …

Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis … liquidity shocks, which are infrequent but can have a severe impact on affected banks and financial systems, is complicated not … liquidity stress testing approaches for banks and discusses their implementation by IMF staff in the Financial Sector Assessment …