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A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards

Hana Hejlová, Zlatuse Komarkova () and Marek Rusnák

Prague Economic Papers, 2020, vol. 2020, issue 3, 251-273

Abstract: 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.

Keywords: banking; financial stability; liquidity; stress testing (search for similar items in EconPapers)
JEL-codes: G12 G19 G21 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.18267/j.pep.732

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