Publication at Faculty of Social Sciences |
2020
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.