<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The aim of this paper is to thoroughly evaluate the sensitivity of Czech commercial banks to a run on banks. Our sample includes a significant part of the Czech banking sector in the period 2006-2013. We use three liquidity ratios that we stress via a stress scenario simulating a run on banks accompanied by a 20% withdrawal rate of deposits.We measure the impact of the scenario by the relative changes of these ratios. The results show that, in spite of a decrease in liquidity, most Czech banks would be able to finance such a scenario. The financial crisis influenced bank sensitivity to a run, but with a significant time lag. The severity of the impact of the bank run increases with the size of the bank; large banks are the most vulnerable. The resilience of banks is also determined by their strategy for liquidity risk management.</p></abstract>

The aim of this paper is to thoroughly evaluate the sensitivity of Czech commercial banks to a run on banks. Our sample includes a significant part of the Czech banking sector in the period 2006-2013. We use three liquidity ratios that we stress via a stress scenario simulating a run on banks accompanied by a 20% withdrawal rate of deposits.We measure the impact of the scenario by the relative changes of these ratios. The results show that, in spite of a decrease in liquidity, most Czech banks would be able to finance such a scenario. The financial crisis influenced bank sensitivity to a run, but with a significant time lag. The severity of the impact of the bank run increases with the size of the bank; large banks are the most vulnerable. The resilience of banks is also determined by their strategy for liquidity risk management.

Sensitivity of Czech Commercial Banks to a Run on Banks

Silesian University in Opava, School of Business Administration in Karviná, Univerzitní nám. 1934/33, 733 40 Karviná, Czech Republic

DANUBE

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Sensitivity of Czech Commercial Banks to a Run on Banks"}

The aim of this paper is to thoroughly evaluate the sensitivity of Czech commercial banks to a run on banks. Our sample includes a significant part of the...

Sensitivity of Czech Commercial Banks to a Run on Banks

Online veröffentlicht: 14. Juli 2015

Seitenbereich: 91 - 107

DOI: https://doi.org/10.1515/danb-2015-0006

Schlüsselwörter
Liquidity, Liquidity Risk, Scenario Analysis, Run on Bank, Czech Commercial Banks

© by Pavla Klepková Vodová

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Sensitivity of Czech Commercial Banks to a Run on Banks

Online veröffentlicht: 14. Juli 2015

Seitenbereich: 91 - 107

DOI: https://doi.org/10.1515/danb-2015-0006

SchlüsselwörterLiquidity, Liquidity Risk, Scenario Analysis, Run on Bank, Czech Commercial Banks

© by Pavla Klepková Vodová

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Schlüsselwörter
Liquidity, Liquidity Risk, Scenario Analysis, Run on Bank, Czech Commercial Banks