This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures …

This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main …, induced by behavioural reactions of heterogeneous banks, and idiosyncratic reputation effects. The impact on liquidity risk is … simulated by a Monte Carlo approach. This generates distributions of liquidity buffers for each scenario round, including the …

This paper discusses liquidity regulation when short-term funding enables credit growth but generates negative systemic … containing risk and preserving credit quality, while quantity-based funding ratios are distorsionary. Liquidity buffers are … overconfidence), excess credit and liquidity risk are best controlled with net funding ratios. Taxes on short-term funding emerge …