Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk
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- Jan Willem van den End, 2010. "Liquidity Stress-Tester: A Model for Stress-testing Banks' Liquidity Risk," CESifo Economic Studies, CESifo, vol. 56(1), pages 38-69, March.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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More about this item
Keywordsbanking; financial stability; stress-tests; liquidity risk;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-31 (All new papers)
- NEP-BAN-2008-05-31 (Banking)
- NEP-BEC-2008-05-31 (Business Economics)
- NEP-CFN-2008-05-31 (Corporate Finance)
- NEP-FMK-2008-05-31 (Financial Markets)
- NEP-MAC-2008-05-31 (Macroeconomics)
- NEP-RMG-2008-05-31 (Risk Management)
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