Cont, Rama; Kotlicki, Artur; Valderrama, Laura - 2020
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 …. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which …