Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/123777 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Bank of Canada Working Paper No. 2015-32
Verlag: 
Bank of Canada, Ottawa
Zusammenfassung: 
We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined. We highlight how coordination failure between a bank's creditors and adverse selection in the secondary market for the bank's assets interact, leading to a vicious cycle that can drive otherwise solvent banks to illiquidity. Investors' pessimism over the quality of a bank's assets reduces the bank's recourse to liquidity, which exacerbates the incidence of runs by creditors. This, in turn, makes investors more pessimistic, driving down other banks' recourse to liquidity. We illustrate these dynamics in a calibrated stress-testing exercise.
Schlagwörter: 
Financial stability
Financial system regulation and policies
JEL: 
G01
G21
G28
C72
E58
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Dokumentart: 
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