Liquidity Stress-Tester: A Model for Stress-testing Banks' Liquidity Risk
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Cited by:
- Bernd Rudolph, 2010. "Die internationale Finanzkrise als Anstoß für Weiterentwicklungen im Risikocontrolling der Banken und für Reformen in der Bankregulierung," Schmalenbach Journal of Business Research, Springer, vol. 62(61), pages 122-149, January.
- Stanislav Skapa, 2013. "Commodities As A Tool Of Risk Diversification," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 8(2), pages 65-77, June.
- Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
- Oana-Maria Georgescu & Dimitrios Laliotis & Miha Leber & Javier Población, 2020. "A Liquidity Shortfall Analysis Framework for the European Banking Sector," Mathematics, MDPI, vol. 8(5), pages 1-15, May.
- Benjamin M. Tabak & Solange M. Guerra & Rodrigo C. Miranda & Sergio Rubens S. de Souza, 2012. "Teste de Estresse para Risco de Liquidez: o caso do sistema bancário brasileiro," Working Papers Series 302, Central Bank of Brazil, Research Department.
- van den End, Jan Willem & Tabbae, Mostafa, 2012. "When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour," Journal of Financial Stability, Elsevier, vol. 8(2), pages 107-120.
- Benjamin M. Tabak & Sergio R. S. Souza & Solange M. Guerra, 2013. "Assessing Systemic Risk in the Brazilian Interbank Market," Working Papers Series 318, Central Bank of Brazil, Research Department.
- E. G. Shershneva & H. B. Bakr Hasan & J. Al Hadabi, 2020. "Econometric Modeling of the Bank’s Short-Term Liquidity Dynamics Based on Multi-Factor Regression," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 19(1), pages 79-96.
- Guy, Kester & Lowe, Shane, 2012. "Tracing the Liquidity Effects on Bank Stability in Barbados," MPRA Paper 52205, University Library of Munich, Germany.
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JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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