Sensitivity of Czech commercial banks to the confidence crisis on the interbank market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F14%3A%230002754" target="_blank" >RIV/47813059:19520/14:#0002754 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Sensitivity of Czech commercial banks to the confidence crisis on the interbank market
Original language description
The aim of this paper is to measure the sensitivity of Czech commercial banks to the confidence crisis on the interbank market and to find out if and to which extent the financial crisis increased this sensitivity. Our sample includes significant part ofthe Czech banking sector in period 2006 - 2013. We use three liquidity ratios which we stress by a stress scenario simulating a confidence crisis on the interbank market accompanied by the 20% withdrawal of interbank deposits. Our results showed that majority of Czech banks would be able to withstand such scenario. Small banks are the least vulnerable group of banks. During crisis years, the decline of bank liquidity would be substantially higher.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Managing and Modelling of Financial Risks. 7th International Scientific Conference.
ISBN
978-80-248-3631-7
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
379-386
Publisher name
VŠB
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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