Stress-testing liquidity risk in the Polish banking sector

• Autorzy: Marcin Łupiński
• Języki publikacji: EN

Abstrakty

EN

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)

Słowa kluczowe

EN

Banking sector; Banking risk; Financial liquidity; Market liquidity

PL

Sektor bankowy; Ryzyko bankowe; Płynność finansowa; Płynność rynku

• Czasopismo: Journal of Management and Financial Sciences
• Rocznik: 2013
• Tom: 6
• Numer: nr 14
• Strony: 27--41

Twórcy

autor

Marcin Łupiński

• Uniwersytet Warszawski; Narodowy Bank Polski

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