Przegląd metod badania płynności banków

• Autorzy: Grzegorz Hałaj

Warianty tytułu

Review of Methods for Liquidity Analysis of Banks

• Języki publikacji: PL

Abstrakty

Celem artykułu jest przegląd metod badania płynności banków. Metody te wymagają usystematyzowania z trzech powodów. Po pierwsze, ryzyko utraty płynności zaczęło wywierać znaczny wpływ na funkcjonowanie systemu bankowego i pośrednio na całą gospodarkę. Po drugie, w literaturze rozważa się wiele różnych koncepcji płynności dotyczących systemu finansowego, powiązanych z płynnością banków. Po trzecie, płynność stała się obszarem intensywnych badań naukowych, ważnych dla zrozumienia powstawania i zanikania płynności oraz jej oceny. W przeglądzie podsumowaliśmy rezultaty badań skutecznych sposobów pomiaru i oceny płynności banków. Pokazaliśmy najważniejsze stosowane rozwiązania, również te wymagające udoskonalenia, oraz ich własności. Przedstawiliśmy również otwarte problemy, wykorzystując najnowsze wyniki badań naukowych dotyczących płynności banków - płynność narażoną na ryzyko, stress-testy i systemową ocenę płynności. (abstrakt oryginalny)

EN

The paper provides a survey of the methods that can be applied to assess liquidity of banks and the banking system. There are three reasons for systematizing those methods. First, liquidity risk has recently started to exert a significant influence on the banking system and indirectly on the whole economy. Second, there are many different concepts of liquidity in the literature, which are connected with the liquidity of banks. Third, liquidity is becoming a very profound field of scientific research which is helpful in understanding sources of liquidity surplus and drying-up of liquidity. In the survey, we summarized the results of the research on the efficient methods of measuring and assessing liquidity in banks and in the banking system. We concentrated on practical solutions, including those which need improvements. We also presented the open questions regarding application of the very recent results of the research on liquidity, i.e. liquidity at risk, liquidity stress-testing and systemic liquidity. (original abstract)

Słowa kluczowe

PL

Płynność finansowa; System bankowy; Ryzyko systemowe

EN

Financial liquidity; Banking system; Systemic risk

• Czasopismo: Bank i Kredyt
• Rocznik: 2008
• Numer: nr 7
• Strony: 14--27

Twórcy

autor

Grzegorz Hałaj

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