Iachini, Eleonora; Nobili, Stefano - Banca d'Italia - 2014
take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that … reflect liquidity stress in specific market segments, are aggregated in the systemic liquidity risk indicator in the same way … accurately identifies events characterized by high systemic risk, while not exaggerating the level of stress during calm periods. …