Clients and market practitioners act based on very different sets of information. It is natural for a client to use the Wiener-Kolmogorov prediction theory. Market makers are different. They also use econometric forecasting. But these are not standard econometric forecasting techniques. The...

A framework to run system-wide, balance sheet data-based liquidity stress tests is presented. The liquidity framework includes three elements: (a) a module to simulate the impact of bank run scenarios; (b) a module to assess risks arising from maturity transformation and rollover risks,...