liquidity and solvency shocks. Extending the work by Cao & Illing (2009a, b), it is shown that systemic liquidity shortage … extra cost for banking regulation and makes some schemes that are optimal under pure illiquidity risks (such as liquidity …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …

importance, using dynamic panel models with a one-step GMM estimator. Higher regulatory capital and liquidity requirements are … liquidity position have positive effects on real economic activity and potential sustainable economic growth. …

assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of …

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two … factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a … transmission channels from macroeconomic and idiosyncratic (bank idiosyncratic risks) factors to liquidity runs. By using the …

This study investigates the amount of liquidity that is necessary to settle a given network of financial obligations … a flow network technique to investigate how the interconnected feature could affect the required liquidity. Our main … fundamental perspective of how a hub or other network structures affect the required liquidity. We further investigate the …

The paper´s aim is to contribute to the debate on the impact of stress test on banking system liquidity. Due to the … attempts to increase system solvency could lead into a greater lack of liquidity …