Sensitivity of Czech Commercial Banks to a Run on Banks

• Authors: Pavla Klepková Vodová
• Languages of publication: EN

Abstracts

EN

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.

Keywords

EN

Liquidity; Liquidity Risk; Scenario Analysis; Run on Bank; Czech Commercial Banks

• Publisher: Sciendo
• Journal: DANUBE: Law and Economics Review
• Year: 2015
• Volume: 6
• Issue: 2
• Pages: 91-107

Dates

published

2015-06-01

online

2015-07-14

Contributors

author

Pavla Klepková Vodová

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

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Identifiers

DOI

10.1515/danb-2015-0006