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

Yuliya Baranova (), Jamie Coen (), Joseph Noss (), Pippa Lowe () 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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Persistent link: https://EconPapers.repec.org/RePEc:boe:finsta:0042

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