01755cas a2200253 a 4500 AALejournalIMF015998 230101c9999 xx r poo 0 0eng d 5.00 USD 9781513519791 1018-5941 BD-DhAAL BD-DhAAL Han, Fei. Integrating Solvency and Liquidity Stress Tests : The Use of Markov Regime-Switching Models / Fei Han, Mindaugas Leika. Washington, D.C. : International Monetary Fund, 2019. 1 online resource (41 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The paper presents a framework to integrate liquidity and solvency stress tests. An empirical study based on European bond trading data finds that asset sales haircuts depend on the total amount of assets sold and general liquidity conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links haircuts with market volatility and the amount of securities sold by banks. The framework is accompanied by a Matlab program and an Excel-based tool, which allow the calculations to be replicated for any type of traded security and to be used for liquidity and solvency stress testing. Mode of access: Internet Leika, Mindaugas. IMF Working Papers; Working Paper ; No. 2019/250 Full text available on IMF http://elibrary.imf.org/view/journals/001/2019/250/001.2019.issue-250-en.xml IMF e-Library