Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2013 | 6 | nr 14 | 27--41
Tytuł artykułu

Stress-testing liquidity risk in the Polish banking sector

Treść / Zawartość
Warianty tytułu
Języki publikacji
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)
Opis fizyczny
  • Uniwersytet Warszawski; Narodowy Bank Polski
  • 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:, access: March 2012 r.
  • BCBS, (2008), Principles for Sound Liquidity Risk Management and Supervision, source:, access: March 2012 r.
  • BCBS, (2010), Basel III: International framework for liquidity risk measurement, standards and monitoring, source:, 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:, 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
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.