G - Financial Economics
-
-
Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach
Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez SouissiWe propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28
Go To Page