Similar Search Results

When liquidity risk becomes a systemic issue : empirical evidence of bank behaviour

End, Jan-Willem van den; Tabbae, Mostafa - In: Journal of financial stability 8 (2012) 2, pp. 107-120

Persistent link: https://www.econbiz.de/10009655661

When liquidity risk becomes a macro-prudential issue : empirical evidence of bank behaviour

End, Jan-Willem van den; Tabbae, Mostafa - 2009

Persistent link: https://www.econbiz.de/10003912742

Modelling scenario analysis and macro stress-testing

End, Jan-Willem van den; Hoeberichts, Marco; Tabbae, Mostafa - 2006

Persistent link: https://www.econbiz.de/10003391372

Liquidity stress-tester : do Basel III and unconventional monetary policy work?

End, Jan-Willem van den - In: Applied financial economics 22 (2012) 13/15, pp. 1233-1257

Persistent link: https://www.econbiz.de/10009625378

Liquidity stress-tester: do Basel III and unconventional monetary policy work?

End, Jan-Willem van den - 2010

Persistent link: https://www.econbiz.de/10008758061

Liquidity stress-tester : a model for stress-testing banks' liquidity risk

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...

Persistent link: https://www.econbiz.de/10003944301

Liquidity stress-tester : a macro model for stress-testing banks' liquidity risk

End, Jan-Willem van den - 2008

Persistent link: https://www.econbiz.de/10003704555

Macro-effects of higher capital and liquidity requirements for banks : empirical evidence for the Netherlands

Berben, Robert-Paul; Bierut, Beata; End, Jan-Willem van den - 2010

Persistent link: https://www.econbiz.de/10008908513

Liquidity Stress-Tester : A Model for Stress-Testing Banks’ Liquidity Risk

van den End, Jan Willem - 2011

Persistent link: https://www.econbiz.de/10013133881

Liquidity Stress-Tester : Do Basel III and Unconventional Monetary Policy Work?

van den End, Jan Willem - 2011

This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of shocks are simulated by a Monte Carlo approach. Banks...

Persistent link: https://www.econbiz.de/10013119113