Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*

DOI10.1093/rof/rfw067zbMath1425.91420OpenAlexW3123049497MaRDI QIDQ5237855

Yann Braouezec, Lakshithe Wagalath

Publication date: 25 October 2019

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://www.ieseg.fr/wp-content/uploads/2012/03/2016-ACF-01_Braouezec_Wagalath.pdf

zbMATH Keywords

optimal liquidationmarket impactfire salesrisk-weighted assetsstress-testssystemic capital surcharge

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (5)

A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL ⋮ Reverse stress testing: Scenario design for macroprudential stress tests ⋮ A repo model of fire sales with VWAP and LOB pricing mechanisms ⋮ Strategic fire-sales and price-mediated contagion in the banking system ⋮ Capital regulation under price impacts and dynamic financial contagion

This page was built for publication: Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario*