Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent … stress test covering all the major banking groups in the EU. The potential amplification role of asset managers is taken into …

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …