costs. The importance of applying a good liquidity risk measurement system becomes apparent. The present paper provides an … approach to the measurement of liquidity maturity transformation risk within a stress testing framework, for middle-sized banks …. The costs of liquidity arising due to a downturn in refinancing conditions are calculated by using modern risk measures …

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 …

demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …

This paper introduces a theoretical liquidity risk model to explain how the fire-sale price happens by banks' portfolio … composition and the liquidity shocks. The model illustrates that the derivatives can serves as Arrow-Debreu securities for banks … to share and eliminate the liquidity risks. The shadow banking system serves as the external funds aids banks to absorb …

. 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 …

In August of 2007, banks faced a freeze in funding liquidity from the asset-backed commercial paper (ABCP) market. We … investigate how banks scrambled for liquidity in response to this freeze and its implications for corporate borrowing. Commercial …

. 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 …