Liquidity at risk: Joint stress testing of solvency and liquidity
提出一个结构性框架，将偿付能力与流动性风险联合进行压力测试，通过分析两者之间的内在联系，定义“流动性风险值”来量化压力情景下所需的流动性资源，并揭示流动性需求导致的融资成本会放大股权损失。
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency stress tests. We propose a structural framework for the joint stress testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a coherent framework, involving external shocks to solvency and endogenous liquidity shocks arising from these solvency shocks. We define the concept of “Liquidity at Risk”, which quantifies the liquidity resources required for a financial institution facing a stress scenario. Finally, we show that the interaction of liquidity and solvency may lead to the amplification of equity losses due to funding costs which arise from liquidity needs.