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...
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| Aineistotyyppi: | Aikakauslehti |
| Kieli: | English |
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Washington, D.C. :
International Monetary Fund,
2011.
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| Sarja: | IMF Working Papers; Working Paper ;
No. 2011/263 |
| Linkit: | Full text available on IMF |