Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/179336 
Autor:innen: 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
ECB Working Paper No. 2121
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent interactions between market participants in an agent-based modelling fashion. The model is confronted with data from the 2014 EU stress test covering all the major banking groups in the EU. The potential amplification role of asset managers is taken into account in a stylised fashion. In particular, we investigate the importance of the channels through which the funding shock to financial institutions can spread across the financial system.
Schlagwörter: 
liquidity
systemic risk
ABM
JEL: 
G11
G21
C61
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-3226-4
Dokumentart: 
Working Paper

Datei(en):
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