Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26138077%3A_____%2F16%3A%230000682" target="_blank" >RIV/26138077:_____/16:#0000682 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/16:10324561
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector
Original language description
We build a macro stress-testing model for banks´ market and funding liquidity risks with a survival period of one month. The model takes into account the impact of both bankspecific and market-wide scenarios and includes second-round effects of shocks due to banks´ feedback reactions. The model has three phases: (i) the formation of a balancesheet liquidity shortfall, (ii) the reaction of banks on financial markets, and (iii) the feedback effects of shocks, such as secondary deposit outflows for reacting banks and additional haircuts on securities. During each phase, we recount the liquidity buffer and examine whether banks hold a sufficiently large amount of liquid assets to be able to survive the liquidity tension in their balance sheets. The framework is applied to the Czech banking sector to illustrate typical calibrations and the impact on banks.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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