{"title":"基于巴塞尔流动性标准的流动性风险压力测试框架","authors":"Hana Hejlová, Zlatuše Komárková, Marek Rusňák","doi":"10.18267/j.pep.732","DOIUrl":null,"url":null,"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.","PeriodicalId":45324,"journal":{"name":"Prague Economic Papers","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2020-06-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards\",\"authors\":\"Hana Hejlová, Zlatuše Komárková, Marek Rusňák\",\"doi\":\"10.18267/j.pep.732\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":45324,\"journal\":{\"name\":\"Prague Economic Papers\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.6000,\"publicationDate\":\"2020-06-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Prague Economic Papers\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.18267/j.pep.732\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Prague Economic Papers","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.18267/j.pep.732","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards
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.
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