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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/16:10324561

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Czech Journal of Economics and Finance

ISSN

0015-1920

e-ISSN

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Svazek periodika

66

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

18

Strana od-do

21-38

Kód UT WoS článku

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EID výsledku v databázi Scopus

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