Liquidity risk sensitivity of Czech commercial banks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F14%3A%230002925" target="_blank" >RIV/47813059:19520/14:#0002925 - isvavai.cz</a>
Result on the web
<a href="http://acta.mendelu.cz/62/2/0427/" target="_blank" >http://acta.mendelu.cz/62/2/0427/</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Liquidity risk sensitivity of Czech commercial banks
Original language description
The aim of this paper is to measure the liquidity risk sensitivity of Czech commercial banks and to find out the most severe scenario and the most vulnerable bank in the period from 2000 to 2011. We used three stress scenarios: run on a bank, confidencecrisis on the interbank market and use of committed loans by counterparties. The impact of modelled liquidity shocks differs among scenarios. The most serious liquidity problems would be caused by the first scenario - run on a bank. The negative influence of third scenario (use of committed loans) is less severe. The confidence crisis on the interbank market would not affect bank liquidity at all. The severity of the impact of all scenarios worsens in periods of financial distress. Large and medium sized banks are most vulnerable to liquidity shocks, mainly to massive deposit withdrawals.
Czech name
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Czech description
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Classification
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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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
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Source of the Document Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
62
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
10
Pages from-to
427-436
UT code for WoS article
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EID of the result in the Scopus database
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