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dc.contributor.authorGeršl, Adam
dc.contributor.authorKomárková, Zlatuše
dc.contributor.authorKomárek, Luboš
dc.date.accessioned2016-11-16T10:22:03Z
dc.date.available2016-11-16T10:22:03Z
dc.date.issued2016
dc.identifier.citationFinance a úvěr - Czech Journal of Economics and Finance. 2016, vol. 66, issue 1, p. 32-49.cs
dc.identifier.issn0015-1920
dc.identifier.issn2464-7683
dc.identifier.urihttp://hdl.handle.net/10084/116377
dc.description.abstractWe build a macro stress-testing model for banks’ market and funding liquidity risks with a survival period of one month. 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 model has three phases: (i) the formation of a balance-sheet liquidity shortfall, (ii) the reaction of banks on financial markets, and (iii) the feedback effects of shocks, such as secondary deposit outflows for reacting banks and additional haircuts on securities. During each phase, we recount the liquidity buffer and examine whether banks hold a sufficiently large amount of liquid assets to be able to survive the liquidity tension in their balance sheets. The framework is applied to the Czech banking sector to illustrate typical calibrations and the impact on banks.cs
dc.format.extent716827 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoencs
dc.publisherUniverzita Karlova. Fakulta sociálních vědcs
dc.relation.ispartofseriesFinance a úvěr - Czech Journal of Economics and Financecs
dc.relation.urihttp://journal.fsv.cuni.cz/storage/1347_gersl.pdfcs
dc.subjectbankingcs
dc.subjectfinancial stabilitycs
dc.subjectliquidity riskcs
dc.subjectstress testingcs
dc.titleLiquidity stress testing with second-round effects: application to the Czech banking sectorcs
dc.typearticlecs
dc.rights.accessopenAccess
dc.type.versionpublishedVersioncs
dc.type.statusPeer-reviewedcs
dc.description.sourceWeb of Sciencecs
dc.description.volume66cs
dc.description.issue1cs
dc.description.lastpage49cs
dc.description.firstpage32cs
dc.identifier.wos000377712200002


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