Financial Sustainability - Game Theory Analysis of Options Approach for a Czech Bank

Karel Janda and Petr Marek

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

Abstract: This paper applies a model of bank run based on game theory analysis of options to the real world case of the Czech retail bank Air Bank a. s. We discuss the main factors affecting the susceptibility of Czech banks to bank run. We estimate the equity value which triggers bank run for Air Bank´s a. s. clients. We also simulate a possible bank run, using a liquidity stress test, which is similar to stress tests used by some European supervisory authorities. We provide alternative estimates of critical value of bank's equity after the attainment of which depositors withdraw their deposits and by doing so trigger a bank run.

Keywords: Bank run; liquidity; game theory; option pricing (search for similar items in EconPapers)
JEL-codes: C72 G01 G21 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-ban, nep-cba, nep-gth and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:249677

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