relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …. We define the concept of 'Liquidity at Risk', which quantifies the liquidity resources required for a financial …. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which …

The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European … bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity … conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively …

leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity … increased moderately. This de-leveraging effect is stronger for firms exposed to significant rollover risk, while firms whose …

This paper develops a model that focuses on the interaction of liquidity creation by financial intermediaries with … trigger a sudden outflow of capital and an exchange collapse. The initial shock is magnified by the behavior of individual …

and liquidity needs facing the U.S. corporate sector based on projections of net income, availability and cost of funding … segment and the relatively long duration of that sector's debt, the near-term liquidity needs of these corporates appear …

This paper evaluates ways to protect highly dollarized banking systems from systemic liquidity runs (such as the ones … the use of limited dollar liquidity to ensure the convertibility of transactional deposits with a mechanism that … automatically limits the convertibility of dollar term deposits once triggered by a predetermined decline in banks'' liquidity …

the initial shock as earnings recover in line with projected macroeconomic conditions, liquidity needs remain substantial … shocks induced by the pandemic to their liquidity, viability and solvency. For this purpose, we develop novel multi … their debt, and on their liquidity and solvency positions. Applying the October 2020 WEO baseline and adverse scenarios, we …