Consider a simple bank with the following liabilities, the unit being 100 mln EUR: capital K = 1, deposits D = 9; LS invested in high-quality sovereign bonds and LR in illiquid commercial loans. The model has three periods. The bank chooses LS and LR in t = 0. Afterwards, with probability p = 0.1 a "stress-scenario" occurs and 50% of the depositors withdraw their deposits in t = 1, the other half in t = 2. With probability 1 p = 0.9, all the depositors withdraw in t = 2 only