Simulating stress across the financial system: the resilience of corporate bond markets and the role of investment funds

Yuliya Baranova (yuliya.baranova@bankofengland.co.uk), Jamie Coen (jamie.coen@bankofengland.co.uk), Joseph Noss (joseph.noss@bankofengland.co.uk), Pippa Lowe (pippa.lowe@bankofengland.co.uk) and Laura Silvestri
Additional contact information
Yuliya Baranova: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Jamie Coen: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Joseph Noss: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Pippa Lowe: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH

No 42, Bank of England Financial Stability Papers from Bank of England

Abstract: This paper provides a first step in developing a system-wide stress simulation. The model incorporates several important features of the financial system. These include several types of institution (including banks and non-banks) and how their actions may propagate and amplify stress. Rather than attempting to predict outcomes of a given stress scenario for financial sector balance sheets, it seeks to explore those conditions under which systemic stress may crystallise.

Keywords: stress simulation; corporate bonds; investment funds; dealers; market liquidity; systemic stress; amplification (search for similar items in EconPapers)
JEL-codes: G01 G11 G12 G14 G19 G23 G24 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2017-07-12
New Economics Papers: this item is included in nep-cmp
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Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:boe:finsta:0042

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