A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards

@article{8929,
   author = {Hejlová, Hana and Komárková, Zlatuše and Rusnák, Marek},
   article_location = {Prague},
   article_number = {3},
   doi = {http://dx.doi.org/10.18267/j.pep.732},
   keywords = {banking; financial stability; liquidity; stress testing},
   language = {eng},
   issn = {1210-0455},
   journal = {Prague Economic Papers},
   title = {A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards},
   url = {https://pep.vse.cz/pdfs/pep/2020/03/01.pdf},
   volume = {29},
   year = {2020}
}

TY  - JOUR
ID  - 8929
AU  - Hejlová, Hana - Komárková, Zlatuše - Rusnák, Marek
PY  - 2020
TI  - A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards
JF  - Prague Economic Papers
VL  - 29
IS  - 3
SP  - 251-273
EP  - 251-273
PB  - Prague University of Economics and Business
SN  - 12100455
KW  - banking
KW  - financial stability
KW  - liquidity
KW  - stress testing
UR  - https://pep.vse.cz/pdfs/pep/2020/03/01.pdf
N2  - We present a macro stress-testing model for banks’ market and funding liquidity risks with a survival period of one year. The model follows the main principles of the Basel standards LCR and NSFR. Besides, the model takes into account the impact of both bank-specific and market-wide scenarios and includes second- round effects of shocks due to banks’ feedback reactions. The presented methodology is then applied to a sample of Czech banks. This allows us to monitor the sensitivity of their liquidity position to the combination of shocks under consideration
ER  - 

HEJLOVÁ, Hana, Zlatuše KOMÁRKOVÁ a Marek RUSNÁK. A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards. \textit{Prague Economic Papers}. Prague: Prague University of Economics and Business, roč.~29, č.~3, s.~251-273, 24 s. ISSN~1210-0455. doi:10.18267/j.pep.732. 2020.