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People's Republic of China-Hong Kong Special Administrative Region : financial sector assessment program : technical note : stress testing the banking sector and systemic risk anal...
Internationaler Währungsfonds - 2021
Hong Kong SAR (HKSAR) is a small and open economy, and a major international financial center with extensive linkages to Mainland China. Over the past two years, Hong Kong SAR's economy and financial sector were adversely impacted by domestic social unrest, US-China tensions, and the global...
Persistent link: https://www.econbiz.de/10012604066
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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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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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The microprudential stress testing for banking system : a study case on Algerian private bank, using accounting approach
Bouchetara, Mehdi; Eyih, Sidi; Kheroua, Hinde Hadj Slimane - In: Financial studies 25 (2021) 4, pp. 34-70
important private bank in Algeria in the face of liquidity risk. Our empirical analysis adopts a bottom-up approach based on an … liquidity risk, despite significant losses on its investment portfolio. The stress tests prove once again, and especially after …
Persistent link: https://www.econbiz.de/10012793520
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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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Theory and regulation of liquidity risk management in banking
Scannella, Enzo - In: International journal of risk assessment and management … 19 (2016) 1/2, pp. 4-21
Persistent link: https://www.econbiz.de/10011584779
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Macroprudential stress test of the euro area banking system
Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019
This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...
Persistent link: https://www.econbiz.de/10012033284
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Supervisory stress testing for central counterparties : a macroprudential, two-tier approach
Anderson, Edward; Cerezetti, Fernando; Manning, Mark - In: The journal of financial market infrastructures 8 (2019) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10012373171