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 liquidity) modeling, and the third dimension considers the asset …

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 asset liquidity risk (or market liquidity), whereas the third dimension …

This report is made up of four research papers, which have been written to perform liquidity stress testing programs …), Liquidity Stress Testing in Asset Management — Part 1. Modeling the Liability Liquidity Risk ; (2) Roncalli, T., Cherief, A …., Karray-Meziou, F., and Regnault, M. (2021), Liquidity Stress Testing in Asset Management — Part 2. Modeling the Asset …

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 liquidity) modeling, and the third dimension considers the asset …

This paper investigates the relationship between the two major sources of bank default risk: liquidity risk and credit … developed by the body of literature on bank stability risk in general and credit and liquidity risk in particular. They also … serve as an underpinning for recent regulatory efforts aimed at strengthening banks (joint) risk management of liquidity and …

Building on the Liquidity Coverage Ratio created under the Basel III regulatory agreement, this paper introduces the … notion of Liquidity Coverage at Risk (LCRisk), which is the probability that a bank becomes insolvent in the next 30-days … early warning signal of liquidity risk. For instance, we find a 35% probability of insolvency a few days before Banco …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

A bank's liquidity risk lays in the intersection of funding risk and market liquidity risk. We offer a mathematical … framework to make Economic Capital and RAROC sensitive to illiquidity. We introduce the concept of a liquidity cost profile as a … quantification of a bank's illiquidity at balance sheet level. This leads to the concept of liquidity-adjusted risk measures defined …