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Keywords: Net demand for the withdrawal of funds (NDWF)
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Journal Articles
Impact of specific liquidity shocks on the bank's solvency
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2024) 25 (2): 337–365.
Published: 27 February 2024
.... It assesses the bank’s probability of default over one or two (short) periods relative to liquidity shocks. The shock scenarios are materialised by different net demands for the withdrawal of funds (NDWF) and may lead the bank to sell illiquid assets at a depreciated value. We consider the possibility...
Includes: Supplementary data
