. 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 …

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 …

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 … 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 …

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

interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk …-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure … of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm's maturity …