Sensitivity of Czech commercial banks to the confidence crisis on the interbank market

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Sensitivity of Czech commercial banks to the confidence crisis on the interbank market

Popis výsledku v původním jazyce

The aim of this paper is to measure the sensitivity of Czech commercial banks to the confidence crisis on the interbank market and to find out if and to which extent the financial crisis increased this sensitivity. Our sample includes significant part ofthe Czech banking sector in period 2006 - 2013. We use three liquidity ratios which we stress by a stress scenario simulating a confidence crisis on the interbank market accompanied by the 20% withdrawal of interbank deposits. Our results showed that majority of Czech banks would be able to withstand such scenario. Small banks are the least vulnerable group of banks. During crisis years, the decline of bank liquidity would be substantially higher.

Název v anglickém jazyce

Sensitivity of Czech commercial banks to the confidence crisis on the interbank market

Popis výsledku anglicky

The aim of this paper is to measure the sensitivity of Czech commercial banks to the confidence crisis on the interbank market and to find out if and to which extent the financial crisis increased this sensitivity. Our sample includes significant part ofthe Czech banking sector in period 2006 - 2013. We use three liquidity ratios which we stress by a stress scenario simulating a confidence crisis on the interbank market accompanied by the 20% withdrawal of interbank deposits. Our results showed that majority of Czech banks would be able to withstand such scenario. Small banks are the least vulnerable group of banks. During crisis years, the decline of bank liquidity would be substantially higher.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

Managing and Modelling of Financial Risks. 7th International Scientific Conference.

ISBN

978-80-248-3631-7

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

379-386

Název nakladatele

VŠB

Místo vydání

Ostrava

Místo konání akce

Ostrava

Datum konání akce

8. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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