This paper proposes a supplementary regulatory indicator “LA” by introducing the Net Stable Funding Ratio (NSFR) into DLM model, and investigates the heterogenous impacts of liquidity management behavior on the transmission of monetary policy in the two types of commercial banks classified...

Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play essential roles in investment decisions, external regulations, and risk capital allocation. However, existing VaR estimation approaches fail to accurately...