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Author

N. Karimi

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Preprint Jul 2026

Determining Insolvency Regions in Banks: A Stochastic Dynamic Approach Integrating Liquidity and Credit Risk

We develop a continuous-time structural dynamic model to determine the exact insolvency regions of banks arising from the non-linear interaction between liquidity and credit risk. While existing literature predominantly treats these risks in isolation or via reduced-form specifications, we explicitly model the feedback...

N. Karimi, D. Ahmadian · 0 citations

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