Prague Economic Papers 2020, 29(3):251-273 | DOI: 10.18267/j.pep.732

A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards

Hana Hejlováa,b, Zlatuše Komárkováa,c, Marek Rusnáka
a Czech National Bank, Prague, Czech Republic
b Charles University, Institute of Economic Studies, Faculty of Social Sciences, Prague, Czech Republic
c University of Finance and Administration, Prague, Czech Republic

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.

Klíčová slova: banking, financial stability, liquidity, stress testing
JEL classification: G12, G19, G21

Vloženo: 28. prosinec 2017; Přijato: 7. červen 2019; Zveřejněno online: 13. březen 2020; Zveřejněno: 16. červen 2020  Zobrazit citaci

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Hejlová, H., Komárková, Z., & Rusnák, M. (2020). A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards. Prague Economic Papers, 29(3), 251-273. doi: 10.18267/j.pep.732
Stáhnout citaci
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Zobrazit celý článek

    Reference

    1. Aikman, D., Alessandri, B., Eklund, B., Gai, P., Kapadia, S., Martin, E., Mora, N., Sterne, G., Willison, M. (2009). Funding Liquidity Risk in a Quantitative Model of Systemic Stability. Bank of England. Working Paper No. 372, https://doi.org/10.2139/ssrn.1420062 Přejít k původnímu zdroji...
    2. Alessandri, P., Gai, P., Kapadia, S., Mora, N., Puhr, C. (2009). Towards a Framework for Quantifying Systemic Stability. International Journal of Central Banking, 5(3), 47-81.
    3. Allen, F., Gale, D. (2000). Financial Contagion. Journal of Political Economy, 108(1), 1-33, https://doi.org/10.1086/262109 Přejít k původnímu zdroji...
    4. Andrle, M., Hlédit, T., Kameník, O., Vlček, J. (2009). Implementing the New Structural Model of the Czech National Bank. CNB. Working Paper No. 2009/2.
    5. Bank of Korea (2012). Systemic Risk Assessment Model for Macroprudential Policy (SAMP), in BoK, Financial Stability Report. Seoul: Bank of Korea.
    6. BCBS (2013a). Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools. BIS Consultative Document.BCBS (2013b). Liquidity Stress Testing: a Survey of Theory, Empirics and Current Industry and Supervisory Practices. BIS. Working Paper No. 24.
    7. BCBS (2013c). Literature Review of Factors Relating to Liquidity Stress - Extended Version. BIS. Working Paper No. 25.
    8. BCBS (2014). Basel III: The Net Stable Funding Ratio. BIS Consultative Document.
    9. BIS (2015). Making Supervisory Stress Tests More Macroprudential: Considering Liquidity and Solvency Interactions and Systemic Risk. BIS. Working Paper No. 29.
    10. Boss, M., Krenn, G., Puhr, C., Summer, M. (2006). Systemic Risk Monitor: a Model for Systemic Risk Analysis and Stress Testing of Banking Systems. OeNB. Financial stability Report No. 11.
    11. Brázdik, F., Hlaváček, M., Maršál, A. (2011). Survey of Research on Financial Sector Modeling within DSGE Models: What Central Banks Can Learn from It. CNB. Research and Policy Note No. 3/2011. Přejít k původnímu zdroji...
    12. Cetina, J. (2015). Incorporating Liquidity Shocks and Feedbacks in Bank Stress Tests. OFR. Brief Series No. 15-06.
    13. Cifuentes, R., Gerrucci, G., Shin, H. (2005). Liquidity Risk and Contagion. Journal of the European Economic Association, 3(2-3), 556-566, https://doi.org/10.1162/jeea.2005.3.2-3.556 Přejít k původnímu zdroji...
    14. CNB (2008). Financial Stability Report 2007. Prague: Czech National Bank.
    15. CNB (2009). Financial Stability Report 2008/2009. Prague: Czech National Bank.
    16. CNB (2010). Financial Stability Report 2009/2010. Prague: Czech National Bank.
    17. CNB (2011). Financial Stability Report 2010/2011. Prague: Czech National Bank.
    18. CNB (2012). Financial Stability Report 2011/2012. Prague: Czech National Bank.
    19. CNB (2013). Financial Stability Report 2012/2013. Prague: Czech National Bank.
    20. CNB (2014). Financial Stability Report 2013/2014. Prague: Czech National Bank.
    21. CNB (2015a). Financial Stability Report 2014/2015. Prague: Czech National Bank.
    22. CNB (2016a). Financial Stability Report 2015/2016. Prague: Czech National Bank.
    23. CNB (2016b). Banking Sector Stress Tests. Available at: http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/cs/financni_stabilita/zatezove_testy/2016/zatezo ve_testy_vysledky_2016_3q.pdf
    24. CNB (2017a). Financial Stability Report 2016/2017. Prague: Czech National Bank.
    25. CNB (2017b). Macro-stress Tests of the Pension Management Companies Sector. Available at: http://www.cnb.cz/miranda2/export/sites/www.cnb.cz/en/financial_stability/stress_testing/download/st ress_testing_FPS_methodology.pdfČihák, M. (2007). Introduction to Applied Stress Testing. IMF. Working Paper No. 7.
    26. Diebold, F. X., Rudebusch, G., Aruoba, S. B. (2006). The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach. Journal of Econometrics, 131(1-2), 309-338, https://doi.org/10.1016/j.jeconom.2005.01.011 Přejít k původnímu zdroji...
    27. EBA (2019). Update on the EBA Report on Liquidity Measures under Article 509(1) of the CRR - results based on data as of 30 June. EBA. March 2019.
    28. Gauthier, C., Souissi, M. (2010). Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquidity Asset Holdings. Bank of Canada. Working Paper No. 29.
    29. Geršl, A., Jakubík, P., Konečný, T., Seidler, J. (2012). Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank. Czech National Bank. Working Paper No. 11.
    30. Geršl, A., Komárková, Z., Komárek, L. (2016). Liquidity Stress Testing with Second-Round Effects: Application to the Czech Banking Sector. Czech Journal of Economics and Finance, 66(1), 32-49.
    31. Heider, F., Hoerova, M., Holthausen, C. (2015). Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk. Journal of Financial Economics, 118(2), 336-354, https://doi.org/10.1016/j.jfineco.2015.07.002 Přejít k původnímu zdroji...
    32. Hlaváček, M., Komárek, L. (2009). Housing Price Bubbles and their Determinants in the Czech Republic and its Regions. CNB. Working Paper No. 2009/12.
    33. Horváth, R., Seidler, J., Weill, L. (2014). Bank Capital and Liquidity Creation: Granger-causality Evidence. Journal of Financial Services Research, 45(3), 341-361, https://doi.org/10.1007/s10693-013-0164-4 Přejít k původnímu zdroji...
    34. Komárková, Z., Geršl, A., Komárek, L. (2011). Models for Stress Testing Czech Banks' Liquidity Risk, Czech National Bank. CNB. Working Paper No. 11.
    35. Komárková, Z., Rusnák, M., Hejlová, H. (2016). The Relationship between Liquidity Risk and Credit Risk in the CNB's Liquidity Stress Tests. Financial Stability Report 2015/2016.
    36. Kučera, A., Dvořák, M., Komárková, Z. (2019). The Czech Government Yield Curve Decomposition at the Lower Bound. Czech Journal of Economics and Finance, 69(1), 2-36.
    37. Nier, E., Yang, J., Yorulmazer, T., Alentorn, A. (2008). Network Models and Financial Stability. Bank of England. Working Paper No. 346, https://doi.org/10.2139/ssrn.1280788 Přejít k původnímu zdroji...
    38. Puhr, C., Schmitz, S. (2014). A View from the Top - The Interaction between Solvency and Liquidity Stress. Journal of Risk Management in Financial Institutions, 7(4), 38-51. Přejít k původnímu zdroji...
    39. Puhr, C., Santos, A., Schmieder, Ch., Neftci, S., Neudorfer, B., Schmitz, S., Hess, H. (2012). Next Generation System-Wide Liquidity Stress Testing. IMF. Working Paper No. 3, https://doi.org/10.5089/9781475502466.001 Přejít k původnímu zdroji...
    40. van den End, J. W. (2008). Liquidity Stress-Tester: A Macro Model for Stress-Testing Banks' Liquidity Risk. Netherlands Central Bank (DNB). Working Paper No. 175.
    41. van den End, J. W. (2012). Liquidity Stress-Tester: Do Basel III and Unconventional Monetary Policy Work? Applied Financial Economics, 22(15), 1233-1257, https://doi.org/10.1080/09603107.2011.646065 Přejít k původnímu zdroji...
    42. Vodová, P. (2011a). Liquidity of Czech commercial banks and its determinants. International Journal of Mathematical Models and Methods in Applied Sciences, 5(6), 1060-1067.
    43. Vodová, P. (2011b). Determinants of Commercial Bank's Liquidity in Slovakia. In Lessons Learned from the Financial Crisis. Proceedings of 13th International Conference on Finance and Banking (pp. 740-747).
    44. Vodová, P. (2012). Determinants of Commercial Banks' Liquidity in Poland. Ratio, 50(2).
    45. Vodová, P. (2013). Liquid Assets in Banking: What Matters in the Visegrad Countries? E a M: Ekonomie a Management, 16, 113-129.
    46. Vodová, P. (2013b). Determinants of Commercial Bank Liquidity in Hungary. e-Finanse: Financial Internet Quarterly, 9(3), 64-71. Přejít k původnímu zdroji...
    47. Wong, E., Hui, C.-H. (2009). A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks. Hong Kong Monetary Authority. Working Paper No. 6, https://doi.org/10.2139/ssrn.137 Přejít k původnímu zdroji...

    Tento článek je publikován v režimu tzv. otevřeného přístupu k vědeckým informacím (Open Access), který je distribuován pod licencí Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), která umožňuje nekomerční distribuci, reprodukci a změny, pokud je původní dílo řádně ocitováno. Není povolena distribuce, reprodukce nebo změna, která není v souladu s podmínkami této licence.


    Zpět na obsah