Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information /
This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank stylized United States banking system, we analyze correlated...
| Autor principal: | |
|---|---|
| Altres autors: | |
| Format: | Revista |
| Idioma: | English |
| Publicat: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| Col·lecció: | IMF Working Papers; Working Paper ;
No. 2011/263 |
| Accés en línia: | Full text available on IMF |