Liquidity risk sensitivity of Slovak commercial banks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002176" target="_blank" >RIV/47813059:19520/13:#0002176 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Liquidity risk sensitivity of Slovak commercial banks

Popis výsledku v původním jazyce

The aim of this paper is to measure the liquidity risk sensitivity of Slovak commercial banks and to find out the most severe scenario and the most vulnerable banks. We used three different scenarios: run on a bank, confidence crisis on the interbank market and use of committed loans by counterparties. All these situations generated liquidity outflow. We have found that the most severe scenario for Slovak banking sector is run on a bank. The impact is also influenced by the overall macroeconomic situation - during periods of financial distress, it is very difficult to finance massive and unexpected deposit withdrawals. As large and medium sized banks rely on the interbank market or on a liquidity assistance of the Lender of Last Resort and hold only minimum level of liquid assets, they are most vulnerable to liquidity shocks, mainly to massive deposit withdrawals.

Název v anglickém jazyce

Liquidity risk sensitivity of Slovak commercial banks

Popis výsledku anglicky

The aim of this paper is to measure the liquidity risk sensitivity of Slovak commercial banks and to find out the most severe scenario and the most vulnerable banks. We used three different scenarios: run on a bank, confidence crisis on the interbank market and use of committed loans by counterparties. All these situations generated liquidity outflow. We have found that the most severe scenario for Slovak banking sector is run on a bank. The impact is also influenced by the overall macroeconomic situation - during periods of financial distress, it is very difficult to finance massive and unexpected deposit withdrawals. As large and medium sized banks rely on the interbank market or on a liquidity assistance of the Lender of Last Resort and hold only minimum level of liquid assets, they are most vulnerable to liquidity shocks, mainly to massive deposit withdrawals.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GPP403%2F11%2FP243" target="_blank" >GPP403/11/P243: Riziko likvidity komerčních bank ve Visegrádských zemích</a><br>

Návaznosti

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

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název statě ve sborníku

BAI 2013. International Conference on Business and Information

ISBN

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ISSN

1729-9322

e-ISSN

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Počet stran výsledku

16

Strana od-do

1004-1019

Název nakladatele

ATISR

Místo vydání

New Taipei City

Místo konání akce

Bali

Datum konání akce

7. 7. 2013

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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