HEJLOVÁ, Hana, Zlatuše KOMÁRKOVÁ a Marek RUSNÁK. A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards. Prague Economic Papers. Prague: Prague University of Economics and Business, 2020, roč. 29, č. 3, s. 251-273, 24 s. ISSN 1210-0455. Dostupné z: https://dx.doi.org/10.18267/j.pep.732. |
Další formáty:
BibTeX
LaTeX
RIS
@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, 2020, roč.~29, č.~3, s.~251-273, 24 s. ISSN~1210-0455. Dostupné z: https://dx.doi.org/10.18267/j.pep.732.
|