One of the main causes of the past crisis was the inability of financial institutions to acquire funding at appropriate costs. The importance of applying a good liquidity risk measurement system becomes apparent. The present paper provides an approach to the measurement of liquidity maturity...

I study the ex ante information design to maximize the system stability of a financial network, where banks' endogenous default outcomes are determined by a fixed point payment problem that accounts for both project qualities and interbank contagion. In addition to the cross-state risk sharing...

The need to focus on banks' funding structure and stress testing in an explicit way arose as a consequence of the crisis of past decades. Liquidity risks usually occur as a consequence of other kinds of risks, hence analysing scenarios in a prospective manner is essential for the assessment if...

The joint stress testing of net interest income interest rate risk and profit and loss from behavioral risks on a multi-horizon scenario path poses great challenges in enterprise stress testing and earnings risk attributions. We propose a framework for granular level stressed net interest income...

A banking operation is at the epicenter of financial intermediation, and there is no perfect substitute for it in capital markets. Because a banking operation revolves around a constant inventory of risks, in the event of a financial or economic crisis, banks therefore get hit as the first line...

The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the...

"Stress tests are the most innovative regulatory tool to prevent and fight financial crises. Their use has fundamentally changed the mathematical modeling of financial systems, financial risk management in the public and private sector, and the policies designed to prevent and mitigate financial...