Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market

Pavla Klepková Vodová
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Pavla Klepková Vodová: Department of Finance and Accounting, School of Business Administration in Karvina, Silesian University in Opava, Univerzitní náměstí 1934/3, 733 40 Karviná, Czech Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2015, vol. 63, issue 6, 1953-1960

Abstract: The aim of this paper is to measure the sensitivity of commercial banks from the Erste Group to the confidence crisis on the interbank market and to compare their sensitivity with average sensitivity of banks in particular countries. We have used the methodology of scenario analysis for the liquid asset ratio. All banks belonging to the Erste Group should be able to withstand the confidence crisis on the interbank market. The group of the most vulnerable banks consists from Erste bank Hungary and Banca Comerciala Romana from Romania. In some cases, banks from the Erste Group are more sensitive; while in other cases are banks belonging to the Erste Group less vulnerable than corresponding banking sectors. Except of banks from Hungary, Romania and Slovakia, subsidiary banks are less sensitive to the confidence crisis than the parent bank. Banks (and banking sectors) who are net borrowers on the interbank market are much more sensitive to the confidence crisis on this market.

Keywords: liquidity risk; liquid asset ratio; scenario analysis; confidence crisis; interbank market; Erste Group; financial conglomerate (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2015063061953

DOI: 10.11118/actaun201563061953

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