The Application of Interest Rate Risk Regulation on the Czech and Slovak Banking Sectors

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10410307" target="_blank" >RIV/00216208:11230/20:10410307 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=WzQ.7FYgt8" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=WzQ.7FYgt8</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

The Application of Interest Rate Risk Regulation on the Czech and Slovak Banking Sectors

Popis výsledku v původním jazyce

This paper examines the regulation of Interest Rate Risk Management of the Banking Book in the Czech and Slovak banking sectors. We provide modeling of bank balance sheets in terms of regulatory requirements. The contribution of our paper is two-fold. First, we identify the key business drivers of Interest Rate Risk of the Banking Book of the Czech and Slovak banking sectors. Second, when comparing the interest rate risk of the banking book of both banking sectors, we find that major banks in both sectors report a higher interest rate risk from their client liabilities than from client assets. This fact implies that the banks are exposed to the risks inherent in rising interest rates. We find that the interest rate risk exposure of the Czech and Slovak banks is relatively high, and therefore, the potential contagion risk for large foreign owners with subsidiaries in both countries is not negligible.

Název v anglickém jazyce

The Application of Interest Rate Risk Regulation on the Czech and Slovak Banking Sectors

Popis výsledku anglicky

This paper examines the regulation of Interest Rate Risk Management of the Banking Book in the Czech and Slovak banking sectors. We provide modeling of bank balance sheets in terms of regulatory requirements. The contribution of our paper is two-fold. First, we identify the key business drivers of Interest Rate Risk of the Banking Book of the Czech and Slovak banking sectors. Second, when comparing the interest rate risk of the banking book of both banking sectors, we find that major banks in both sectors report a higher interest rate risk from their client liabilities than from client assets. This fact implies that the banks are exposed to the risks inherent in rising interest rates. We find that the interest rate risk exposure of the Czech and Slovak banks is relatively high, and therefore, the potential contagion risk for large foreign owners with subsidiaries in both countries is not negligible.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Ekonomicky Casopis

ISSN

0013-3035

e-ISSN

—

Svazek periodika

68

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

SK - Slovenská republika

Počet stran výsledku

20

Strana od-do

211-230

Kód UT WoS článku

000523998400001

EID výsledku v databázi Scopus

2-s2.0-85085167404