Introducing Funding Liquidity Risk in a Macro Stress-Testing Framework
本文在压力测试框架中引入融资流动性风险，发现杠杆机构在低现金持有和短期债务盛行时更脆弱，并分析了提高资本比率、增加流动资产或减少短期负债对降低系统性风险的权衡。
The main contribution of this paper is to introduce a funding liquidity component `a la Morris and Shin (2009) in a stresstesting framework. As a result, funding liquidity risk arises as an endogenous outcome of the interactions between market liquidity and solvency risks, and banks’ liquidity profiles. We perform a calibration exercise that highlights the vulnerability of leveraged institutions to the combination of low cash holdings and the prevalence of short-term debt, a key feature of the 2008 credit crisis. We also analyze the trade-offs between higher capital ratios, more liquid assets, and/or less short-term liabilities in reducing systemic risk.