leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity …

shocks induced by the pandemic to their liquidity, viability and solvency. For this purpose, we develop novel multi … their debt, and on their liquidity and solvency positions. Applying the October 2020 WEO baseline and adverse scenarios, we … the initial shock as earnings recover in line with projected macroeconomic conditions, liquidity needs remain substantial …

. 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 …

bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity …The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European … conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility …

This paper studies under what circumstances creditworthy sovereign borrowers may be denied liquidity by rational … become self-fulfilling, and the borrower experiences a liquidity crisis. Multiple equilibria can be avoided by marketing the … loan appropriately or by developing a reputation for following good policies. Liquidity problems can also arise because of …