We develop empirical models for the determination of liquidity for U.S. commercial and savings banks (hereafter, banks) with the goal predicting bank liquidity under stressful economic conditions. The data used to develop the liquidity models are taken from income statements and balance sheets...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market...

This report is made up of four research papers, which have been written to perform liquidity stress testing programs, which comply with ESMA regulatory guidelines: (1) Roncalli, T., Karray-Meziou, F., Pan, F., and Regnault, M. (2021), Liquidity Stress Testing in Asset Management — Part 1....

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the...

How do banks respond to changes in capital requirements as a result of the stress tests? Does the disclosure of stress test results matter? To answer these questions, we study the impact of European stress tests on banks’ lending, their corresponding risk-taking, the ensuing effect on their...

In their efforts to guard against the world’s greatest threats, administrative agencies and businesses have in recent years increasingly used stress tests. Stress tests simulate doomsday scenarios to ensure that the organization is prepared to respond. For example, agencies role-played a...