The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …

Conditional value at risk (CoVaR) and marginal expected shortfall (MES) have been proposed as measures of systemic risk …. Some argue these statistics should be used to impose a “systemic risk tax” on financial institutions. These recommendations … systematic risk; and, (3) poorly measure asymptotic tail dependence in stock returns. We introduce a null hypothesis to separate …

the main challenges for regulators in terms of bank risk measurement. The study shows that substantial challenges for … discussion concerning proper risk measurement in regulatory frameworks, such as the Basel Accord or the European Banking …The latest financial crisis has exposed substantial weaknesses in the bank risk models used by national regulators as …