This paper proposes and examines a new structural risk of default model for banks in frictional and fuzzy financial … markets. It is motivated by the need to fill the shortcomings of probability-based credit risk metric models that are … characterised by unrealistic assumptions such as crisply precise and constant risk-free rates of return. The problem investigated …

We introduce a novel simulation-based network approach, which provides full-edged distributions of potential interbank … that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used … risk exposures. As comparison of liquidity risk projections to the available liquidity of participants in the system only …-quality liquid assets (HQLA) available at the group level to assess the overall liquidity risk that participants face in TARGET2. Our …