systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding … liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress … channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical …

. We focus on liquidity (market and funding), contagion and systemic risk, which have attracted a particularly large … interest in the last years of financial turmoil. Firstly, we construct a funding liquidity factor based on the contagion … effects that market liquidity risks encounter. This procedure can be useful to provide a better management of the liquidity …

consequences of exogenous shocks on the banking system and we measure contagion phenomena. This approach is illustrated by an …

In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of … endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and … liquidity level and distribution on crisis. As well as aggregate and idiosyncratic shocks, by considering possible correlations …

financial stability. This paper extends the existing research by zooming in on the specific topic of liquidity provision to … banks in resolution. It examines the provision of liquidity in the United States, the United Kingdom, Japan, Canada and the … liquidity provision and the roles of the public budget and the central bank. The comparison also reveals that the role of fiscal …

financial stability. This paper extends the existing research by zooming in on the specific topic of liquidity provision to … banks in resolution. It examines the provision of liquidity in the United States, the United Kingdom, Japan, Canada and the … liquidity provision and the roles of the public budget and the central bank. The comparison also reveals that the role of fiscal …

financial stability. This paper extends the existing research by zooming in on the specific topic of liquidity provision to … banks in resolution. It examines the provision of liquidity in the United States, the United Kingdom, Japan, Canada and the … liquidity provision and the roles of the public budget and the central bank. The comparison also reveals that the role of fiscal …

We provide a theoretical model for funding liquidity that extends the literature by allowing financial institutions to … raise short-term unsecured funding in addition to secured funding. We identify a new liquidity spiral, a credit limit spiral …