Liquidity risk sensitivity of Hungarian commercial banks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002174" target="_blank" >RIV/47813059:19520/13:#0002174 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Liquidity risk sensitivity of Hungarian commercial banks
Original language description
The aim of this paper is to measure the liquidity risk sensitivity of banks in Hungary. Our sample includes significant part of the Hungarian banking sector in period 2000-2011. We use three stress scenarios: run on a bank, use of committed loans by counterparties and confidence crisis on the interbank market. We have found that the most severe scenario is run on a bank and the second most severe is the confidence crisis on the interbank market. There is no link between size of the bank and its vulnerability to liquidity shocks.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GPP403%2F11%2FP243" target="_blank" >GPP403/11/P243: Liquidity risk of commercial banks in the Visegrad countries</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Management of Firms and Financial Institutions. 9th International Scientific Conference
ISBN
978-80-248-3172-5
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
1056-1065
Publisher name
VŠB TU
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 9, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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