Integrating Solvency and Liquidity Stress Tests : The Use of Markov Regime-Switching Models /
The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity conditions in the market. To account for variations in market liquid...
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| Muut tekijät: | |
| Aineistotyyppi: | Aikakauslehti |
| Kieli: | English |
| Julkaistu: |
Washington, D.C. :
International Monetary Fund,
2019.
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| Sarja: | IMF Working Papers; Working Paper ;
No. 2019/250 |
| Linkit: | Full text available on IMF |