. 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 …

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 …

This paper develops a debt-run model to study the effects of liquidity injections on debt markets in the presence of a … terms of debt. We show that when equityholders have a large bargaining power, liquidity injections into distressed firms can …

institutions suffer from a liquidity problem. This is because post-crisis reforms enjoined central banks from providing liquidity … important differences between the United States (U.S.) and Europe. While the U.S. Congress at least sought to minimize liquidity …

This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity … gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under … different assumptions and scenarios. The findings suggest that, while the average liquidity gaps in resolution are limited, the …

This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity … gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under … different assumptions and scenarios. The findings suggest that, while the average liquidity gaps in resolution are limited, the …

liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress …

. 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 …

concerning banks' liquidity needs is idiosyncratic and imperfectly correlated. When a shock to aggregate liquidity demand occurs … exposures become a means to spread risk. If the ex-post facto is an excess demand for liquidity, therefore, regulators could …

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 …