Liquidity risk of banks in the Visegrad Countries. An empirical analysis of bank liquidity, its determinants and liquidity risk sensitivity.

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F13%3A%230002178" target="_blank" >RIV/47813059:19520/13:#0002178 - 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 of banks in the Visegrad Countries. An empirical analysis of bank liquidity, its determinants and liquidity risk sensitivity.

Popis výsledku v původním jazyce

This monograph focuses on the liquidity risk of commercial banks in the Visegrad countries in the period from 2000 to 2011. This risk is comprehensively evaluated with several different methods: six liquidity ratios, panel data regression analysis with fixed effects, probit model and scenario analysis. The liquidity position, net position on the interbank market and strategy of liquidity risk management differ significantly in individual Visegrad countries. The capital adequacy is the most important determinant of bank liquidity. However, some other factors such as size of the bank, credit portfolio quality or macroeconomic development are significant as well. All three tested stress scenarios would have a negative influence on bank liquidity. A run onthe bank would have most serious impact on the bank liquidity in all Visegrad countries. The use of committed loans is the second most severe scenario for Czech and Slovak banks and a crisis confidence in the interbank market for Hungari

Název v anglickém jazyce

Liquidity risk of banks in the Visegrad Countries. An empirical analysis of bank liquidity, its determinants and liquidity risk sensitivity.

Popis výsledku anglicky

This monograph focuses on the liquidity risk of commercial banks in the Visegrad countries in the period from 2000 to 2011. This risk is comprehensively evaluated with several different methods: six liquidity ratios, panel data regression analysis with fixed effects, probit model and scenario analysis. The liquidity position, net position on the interbank market and strategy of liquidity risk management differ significantly in individual Visegrad countries. The capital adequacy is the most important determinant of bank liquidity. However, some other factors such as size of the bank, credit portfolio quality or macroeconomic development are significant as well. All three tested stress scenarios would have a negative influence on bank liquidity. A run onthe bank would have most serious impact on the bank liquidity in all Visegrad countries. The use of committed loans is the second most severe scenario for Czech and Slovak banks and a crisis confidence in the interbank market for Hungari

Druh

B - Odborná kniha

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

ISBN

978-3-659-49360-7

Počet stran knihy

214

Název nakladatele

Lambert Academic Publishing

Místo vydání

Saarbrücken

Kód UT WoS knihy

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