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 …

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 …

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a … banks will fail or experience liquidity runs simultaneously. Significant systemic risk factors are shown to include … inter-bank defaults. Liquidity runs are modeled as a response to elevated solvency risk and uncertainties and are shown to …