Vives, Xavier - 2011 - Rev. May 2011
interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio … liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … probabilities of insolvency and illiquidity. It is found that in a more competitive environment (with higher return on short …