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Integrating solvency and liquidity stress tests : the use of Markov regime-switching models
Han, Fei; Leika, Mindaugas - 2019
The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European … bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity … conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links …
Persistent link: https://www.econbiz.de/10012154762
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Liquidity risk and credit risk : a relationship based on the interaction between liquid asset ratio, non-performing loans ratio and systemic liquidity risk
Malandrakis, Ioannis K. - In: International journal of financial engineering and risk … 1 (2014) 4, pp. 375-400
Persistent link: https://www.econbiz.de/10010476907
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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...
Persistent link: https://www.econbiz.de/10011890804
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …
Persistent link: https://www.econbiz.de/10012849054
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …
Persistent link: https://www.econbiz.de/10012828230
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Liquidity at risk : joint stress testing of solvency and liquidity
Cont, Rama; Kotlicki, Artur; Valderrama, Laura - In: Journal of banking & finance 118 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012520907
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Corporate liquidity in coronacrisis : experience of Serbian economy
Devjak, Srecko - In: Central European business review : CEBR 12 (2023) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10014249862
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A liquidity risk stress-testing framework with Basel liquidity standards
Hejlová, Hana; Komárková, Zlatuše; Rusnák, Marek - In: Prague economic papers : a bimonthly journal of … 29 (2020) 3, pp. 251-273
Persistent link: https://www.econbiz.de/10012593458
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The relationship between liquidity risk and credit risk in banks
Imbierowicz, Björn; Rauch, Christian - In: Journal of banking & finance 40 (2014), pp. 242-256
Persistent link: https://www.econbiz.de/10010402198
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A new multi-factor risk model to evaluate funding liquidity risk of banks
Fall, Malick; Viviani, Jean-Laurent - In: The European journal of finance 22 (2016) 10/12, pp. 985-1003
Persistent link: https://www.econbiz.de/10011715289