Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information »
Series: IMF Working Papers
Author(s): Liliana Schumacher , and Theodore Barnhill
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2011
Keywords: Solvency risk, systemic liquidity, probability, banking, banking system, bank failures, probabilities, General Financial Markets: Other,
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 bal...