We propose a tractable, model-based stress-testing framework where banks’ solvency risks, funding liquidity risks and market risks are intertwined. We highlight how coordination failure between a bank’s creditors and uncertainty in the secondary market for banks’ assets interact, leading to a vicious cycle that can drive otherwise solvent banks to illiquidity. Investors’ pessimism over the macro-economy increases asset haircuts, which reduces a bank’s recourse to liquidity, exacerbating the incidence of runs. This, in turn, makes investors more pessimistic and impose larger haircuts, which further drives down other banks’ recourse to liquidity. We illustrate these dynamics in a calibrated stress-testing exercise.