Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models

Nopic
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 liquidity, the study uses Markov regime-switching... READ MORE...

Publication date: November 2019
ISBN 9781513519791
$18.00

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Publication date: November 2019

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