An integrated macroprudential stress test of bank liquidity and solvency
提出一种新的系统性金融困境度量，结合银行网络动态开发了流动性与偿付能力的综合压力测试框架，用于识别美国银行系统的脆弱性和韧性，辅助宏观审慎监管与政策制定。
We propose a new measure of systemic financial distress that incorporates idiosyncratic and systemic risks in the financial system network. Using this measure, we develop an integrated stress test of bank liquidity and solvency risks based on the dynamics of financial distress within the banking system network. We apply this stress test framework to the US banking system and identify systemic vulnerability of individual banks as well as the resilience of the system as a whole to an economic shock. The framework helps us identify and monitor systemic interdependencies between banks. The proposed stress testing framework is useful for practical macroprudential monitoring and is informative for policy making.