Liquidity risk sensitivity of Hungarian commercial banks

The aim of this paper is to measure the liquidity risk sensitivity of banks in Hungary. Our sample includes significant part of the Hungarian banking sector in period 2000-2011. We use three stress scenarios: run on a bank, use of committed loans by counterparties and confidence crisis on the interbank market. We have found that the most severe scenario is run on a bank and the second most severe is the confidence crisis on the interbank market. There is no link between size of the bank and its vulnerability to liquidity shocks.