Liquidity risk sensitivity of Hungarian commercial banks

被引：0

作者：

Vodova, Pavla ^{[1
]}

机构：

[1] Silesian Univ Opava, Sch Business Adm Karvina, Dept Finance, Karvina 73340, Czech Republic

来源：

FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 9TH INTERNATIONAL SCIENTIFIC CONFERENCE PROCEEDINGS, PTS I-III | 2013年

关键词：

Liquidity risk; scenario analysis; Hungarian commercial banks;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1056 / 1065

页数：10

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