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Liquidity at risk: Joint stress testing of solvency and liquidity
13 references·3 citing·50 second hop
Liquidity at risk: Joint stress testing of solvency and liquidity (2020)Liquidity at risk: Joint stress testing o…Fire Sales, Indirect Contagion and Systemic Stress Testing (2017)Fire Sales, Indirect Contagio…What Caused Chicago Bank Failures in the Great Depression? A Look at the 1920s (2016)What Caused Chicago Bank Fail…ILLIQUIDITY COMPONENT OF CREDIT RISK – THE 2015 LAWRENCE R. KLEIN LECTURE (2016)ILLIQUIDITY COMPONENT OF CRED…Stress testing banks (2014)Stress testing banksThe Federal Reserve and the Financial Crisis (2013)The Federal Reserve and the F…Bank Capital and Liquidity (2013)Bank Capital and LiquidityThe Relationship between Liquidity Risk and Credit Risk in Banks (2012)The Relationship between Liqu…Liquidity risk management and credit supply in the financial crisis (2011)Liquidity risk management and…How big banks fail and what to do about it (2011)How big banks fail and what t…Coordination Failures and the Lender of Last Resort: Was Bagehot Right after All? (2004)Coordination Failures and the…Liquidity Shortages and Banking Crises (2002)Liquidity Shortages and Banki…Optimal Financial Crises (1998)Optimal Financial CrisesON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…Systemic liquidity contagion in the European interbank market (2021)Systemic liquidity contagion …A model for analyzing the financial stability of banks in the VUCA-world conditions (2021)A model for analyzing the fin…Determinants of Banks’ Liquidity: A French Perspective on Interactions between Market and Regulatory Requirements (2020)Determinants of Banks’ Liquid…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Bank Runs, Deposit Insurance, and Liquidity (1983)Agency Costs, Net Worth, And Business Fluctuations (1988)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Collective Risk Management in a Flight to Quality Episode (2007)Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)A Survey of Systemic Risk Analytics (2012)Liquidity and leverage (2008)Market Liquidity and Funding Liquidity (2008)The Evolution of a Financial Crisis: Panic in the Asset-Backed Commercial Paper Market (2009)Financial Intermediation and the Post-Crisis Financial System (2010)The Tri-Party Repo Market before the 2010 Reforms (2010)Manias, Panics, and Crashes: A History of Financial Crises (1979)Market Liquidity and Funding Liquidity (2005)Network models and financial stability (2007)Financial Intermediation and Delegated Monitoring (1984)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Liquidity Risk and Contagion (2005)Has Finance Made the World Riskier? (2006)A theory of systemic risk and design of prudential bank regulation (2009)Efficient Tests for an Autoregressive Unit Root (1996)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)The effects of liquidity risk and credit risk on bank stability: Evidence from the MENA region (2017)Liquidity risk, credit risk and stability in Islamic and conventional banks (2018)The Interactional Relationships Between Credit Risk, Liquidity Risk and Bank Profitability in MENA Region (2020)Informational Asymmetries, Financial Structure, and Financial Intermediation (1977)Credit Rationing in Markets with Imperfect Information (1981)A Crisis of Banks as Liquidity Providers (2014)Supply chain finance: a literature review (2016)Macroprudential Policy, Countercyclical Bank Capital Buffers, and Credit Supply: Evidence from the Spanish Dynamic Provisioning Experiments (2017)Value At Risk: The New Benchmark for Managing Financial Risk (2000)Rating Banks: Risk and Uncertainty in an Opaque Industry (2002)Diversification in Banking: Is Noninterest Income the Answer? (2004)An entropy-based early warning indicator for systemic risk (2016)Bank Cleanups, Capitalization, and Lending: Evidence from India (2020)Banking stress test effects on returns and risks (2020)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Default and Renegotiation: A Dynamic Model of Debt (1998)Repo and Securities Lending (2012)Banking and shadow banking (2018)Monitoring indirect contagion (2019)Central Bank Design (2013)Who Borrows from the Lender of Last Resort? (2016)Global Waves of Debt: Causes and Consequences (2021)
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References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2011Liquidity risk management and credit supply in the financial crisis1,201 cited
  • 1998Optimal Financial Crises1,016 cited
  • 2002Liquidity Shortages and Banking Crises877 cited
  • 2004Coordination Failures and the Lender of Last Resort: Was Bagehot Right after All?818 cited
  • 2012The Relationship between Liquidity Risk and Credit Risk in Banks341 cited
  • 2013The Federal Reserve and the Financial Crisis276 cited
  • 2014Stress testing banks140 cited
  • 2016ILLIQUIDITY COMPONENT OF CREDIT RISK – THE 2015 LAWRENCE R. KLEIN LECTURE129 cited
  • 2011How big banks fail and what to do about it105 cited
  • 2017Fire Sales, Indirect Contagion and Systemic Stress Testing102 cited
  • 2013Bank Capital and Liquidity56 cited
  • 2016What Caused Chicago Bank Failures in the Great Depression? A Look at the 1920s53 cited

Cited by

  • 2021A model for analyzing the financial stability of banks in the VUCA-world conditions41 cited
  • 2020Determinants of Banks’ Liquidity: A French Perspective on Interactions between Market and Regulatory Requirements

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31 cited
  • 2021Systemic liquidity contagion in the European interbank market27 cited