Dhima, Julien; Bruneau, Catherine - 2023
We show that a liquidity shock can affect the solvency of a bank and cause its default if the bank does not hold enough … over one and two (short) periods relative to the liquidity risk and, more particularly, to liquidity shock scenarios on an … individual bank. These shock scenarios are materialized by different net demands for withdrawal of funds (NDWF) - which are not …