Liquidity risk sensitivity of Czech commercial banks

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F14%3A%230002925" target="_blank" >RIV/47813059:19520/14:#0002925 - isvavai.cz</a>

Výsledek na webu

<a href="http://acta.mendelu.cz/62/2/0427/" target="_blank" >http://acta.mendelu.cz/62/2/0427/</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Liquidity risk sensitivity of Czech commercial banks

Popis výsledku v původním jazyce

The aim of this paper is to measure the liquidity risk sensitivity of Czech commercial banks and to find out the most severe scenario and the most vulnerable bank in the period from 2000 to 2011. We used three stress scenarios: run on a bank, confidencecrisis on the interbank market and use of committed loans by counterparties. The impact of modelled liquidity shocks differs among scenarios. The most serious liquidity problems would be caused by the first scenario - run on a bank. The negative influence of third scenario (use of committed loans) is less severe. The confidence crisis on the interbank market would not affect bank liquidity at all. The severity of the impact of all scenarios worsens in periods of financial distress. Large and medium sized banks are most vulnerable to liquidity shocks, mainly to massive deposit withdrawals.

Název v anglickém jazyce

Liquidity risk sensitivity of Czech commercial banks

Popis výsledku anglicky

The aim of this paper is to measure the liquidity risk sensitivity of Czech commercial banks and to find out the most severe scenario and the most vulnerable bank in the period from 2000 to 2011. We used three stress scenarios: run on a bank, confidencecrisis on the interbank market and use of committed loans by counterparties. The impact of modelled liquidity shocks differs among scenarios. The most serious liquidity problems would be caused by the first scenario - run on a bank. The negative influence of third scenario (use of committed loans) is less severe. The confidence crisis on the interbank market would not affect bank liquidity at all. The severity of the impact of all scenarios worsens in periods of financial distress. Large and medium sized banks are most vulnerable to liquidity shocks, mainly to massive deposit withdrawals.

Druh

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

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

2014

Kód důvěrnosti údajů

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

Název periodika

Source of the Document Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Svazek periodika

62

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

427-436

Kód UT WoS článku

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EID výsledku v databázi Scopus

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