- Autor
- Łupiński Marcin (Uniwersytet Warszawski; Narodowy Bank Polski)
- Tytuł
- Stress-testing liquidity risk in the Polish banking sector
- Źródło
- Journal of Management and Financial Sciences, 2013, vol. 6, nr 14, s. 27-41, rys., tab., wykr., bibliogr. 14 poz.
- Słowa kluczowe
- Sektor bankowy, Ryzyko bankowe, Płynność finansowa, Płynność rynku
Banking sector, Banking risk, Financial liquidity, Market liquidity - Uwagi
- summ.
- Abstrakt
- This article is aimed at presenting a modern approach to the macro liquidity risk stress testing in the Polish banking sector. In the first part of the paper the classification and definition of different liquidity risks is described. Then a working implementation of founding and market liquidity risk model is presented. The proposed model tackles three main aspects of liquidity risk observed during the last financial crisis: the banks' reaction to liquidity buffers consumption, implications of fire sales and the crowded trading of the bank's assets and the second round effect connected with systemic risk spillovers. The last part of the article is devoted to a discussion of the achieved results, liquidity risk measures and the distribution generated for two cases: Base Scenario and Extreme Scenario. (original abstract)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka SGH im. Profesora Andrzeja Grodka
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu - Pełny tekst
- Pokaż
- Bibliografia
-
- Aikman D., Alessandri P., 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
- BCBS, (2008), Liquidity Risk: Management and Supervisory Challenges, source: http://www.bis.org, access: March 2012 r.
- BCBS, (2008), Principles for Sound Liquidity Risk Management and Supervision, source: http://www.bis.org, access: March 2012 r.
- BCBS, (2010), Basel III: International framework for liquidity risk measurement, standards and monitoring, source: http://www.bis.org, access: March 2012 r.
- Fernandez F. A., (1999), Liquidity risk: new approaches to measurement and monitoring, Securities Industry Association Working Paper
- Fiedler R. (2002), Techniques and strategies for managing liquidity risk, PRMIA Technical Seminar, Warsaw
- Martin A., (2007), Liquidity stress testing. Scenario modelling in globally operating bank, Proceedings to APRA Liquidity Risk Conference, Sydney, 3-4 May 2007
- Matz L, (2007), Liquidity risk - new lessons and old lessons, Sungard
- Matz L., (2007), Scenario analysis and stress testing in: Matz L., Neu P. red., Liquidity Rrisk: measurement and management, Wiley Finance
- Matz L., Neu P., (2006), Liquidity risk measurement and management: a practitioner's guide to global best practices, Wiley Finance Series
- MFW, (2008), Global financial stability report, April 2008 r., source: http://www.imf.org/, access: June 2012 r.
- Schmitz S. W., (2009), Central banks and systemic liquidity risk: the role of stress testing, Proceedings to 6th Annual RiskCapital Conference, Brussels, June 2009
- Schmitz S. W., (2010), Liquidity regulation and stress tests, RiskMinds presentation, Geneva, grudzień 2010
- Van den End J. W., Hoeberichts M., Tabbae M., (2006), Modelling Scenario Analysis and Macro Stress-testing, DNB Report
- Cytowane przez
- ISSN
- 1899-8968
- Język
- eng
