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Liquidity at risk: joint stress testing of solvency and liquidity

Abstract:

The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency stress tests. We propose a structural framework for the joint stress testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive relations betw...

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Publication status:
Submitted

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Department:
MATHEMATICAL INSTITUTE
Sub department:
Mathematical Institute
Role:
Author
ORCID:
0000-0003-1164-6053
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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Publisher:
International Monetary Fund Publisher's website
Publication date:
2019-06-05
Paper number:
20/82
ISBN:
9781513546131
Language:
English
Pubs id:
1099014
Local pid:
pubs:1099014
Deposit date:
2020-04-07

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