End, Jan-Willem van den - In: CESifo economic studies : CESifo, a joint initiative of … 56 (2010) 1, pp. 38-69
This article presents a stress-testing model for liquidity risks of banks. It takes into account the first- and second-round (feedback) effects of shocks, induced by reactions of heterogeneous banks, and reputation effects. The impact on liquidity buffers and the probability of a liquidity...
