-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the … assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct and cascading … evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to systemic risk … (through Shapley values) in response to shocks, and to analyze the effects of systemic risk charges. We complement the analysis …