A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F20%3A%230000569" target="_blank" >RIV/04274644:_____/20:#0000569 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/20:10412300
Result on the web
<a href="https://pep.vse.cz/pdfs/pep/2020/03/01.pdf" target="_blank" >https://pep.vse.cz/pdfs/pep/2020/03/01.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/j.pep.732" target="_blank" >10.18267/j.pep.732</a>

Result language
angličtina
Original language name
A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards
Original language description
We present a macro stress-testing model for banks’ market and funding liquidity risks with a survival period of one year. The model follows the main principles of the Basel standards LCR and NSFR. Besides, the model takes into account the impact of both bank-specific and market-wide scenarios and includes second- round effects of shocks due to banks’ feedback reactions. The presented methodology is then applied to a sample of Czech banks. This allows us to monitor the sensitivity of their liquidity position to the combination of shocks under consideration
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50200 - Economics and Business

Project
<a href="/en/project/GA16-21506S" target="_blank" >GA16-21506S: New Sources of Systemic Risk in the Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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