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Persistent link: https://www.econbiz.de/10003904272
This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank stylized United States banking system, we analyze...
Persistent link: https://www.econbiz.de/10014397686
Persistent link: https://www.econbiz.de/10009422272