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Funding liquidity risk in a quantitative model of systemic stability
Aikman, David; Alessandri, Piergiorgio; Eklund, Bruno; … - 2009
We demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its development phase. It is based on detailed balance sheets for UK banks and encompasses macro-credit risk, interest and...
Persistent link: https://www.econbiz.de/10003884713
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Funding liquidity risk in a quantitative model of systemic stability
Aikman, David; Alessandri, Piergiorgio; Eklund, Bruno; … - 2009
Persistent link: https://www.econbiz.de/10008822813
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Liquidity risk, cash-flow constraints and systemic feedbacks
Kapadia, Sujit; Drehmann, Mathias; Elliott, John; … - 2012
Persistent link: https://www.econbiz.de/10009559802
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Funding liquidity risk in a quantitative model of systemic stability
Aikman, David; Alessandri, Piergiorgio; Eklund, Bruno; … - In: Financial stability, monetary policy, and central …, (pp. 371-410). 2011
Persistent link: https://www.econbiz.de/10009537379
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Liquidity risk, cash flow constraints, and systemic feedbacks
Kapadia, Sujit; Drehmann, Mathias; Elliott, John; … - In: Quantifying systemic risk, (pp. 29-61). 2013
Persistent link: https://www.econbiz.de/10010191420
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Rethinking financial stability
Aikman, David; Haldane, Andrew G.; Hinterschweiger, Marc; … - 2018
Persistent link: https://www.econbiz.de/10011914449
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Funding Liquidity Risk in a Quantitative Model of Systemic Stability
Aikman, David - 2013
We demonstrate how the introduction of liability-side feedbacks affects the properties of a quantitative model of systemic risk. The model is known as RAMSI and is still in its development phase. It is based on detailed balance sheets for UK banks and encompasses macro-credit risk, interest and...
Persistent link: https://www.econbiz.de/10013095842