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Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market

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  • Pavla Klepková Vodová

    (Department of Finance and Accounting, School of Business Administration in Karvina, Silesian University in Opava, Univerzitní náměstí 1934/3, 733 40 Karviná, Czech Republic)

Abstract

The aim of this paper is to measure the sensitivity of commercial banks from the Erste Group to the confidence crisis on the interbank market and to compare their sensitivity with average sensitivity of banks in particular countries. We have used the methodology of scenario analysis for the liquid asset ratio. All banks belonging to the Erste Group should be able to withstand the confidence crisis on the interbank market. The group of the most vulnerable banks consists from Erste bank Hungary and Banca Comerciala Romana from Romania. In some cases, banks from the Erste Group are more sensitive; while in other cases are banks belonging to the Erste Group less vulnerable than corresponding banking sectors. Except of banks from Hungary, Romania and Slovakia, subsidiary banks are less sensitive to the confidence crisis than the parent bank. Banks (and banking sectors) who are net borrowers on the interbank market are much more sensitive to the confidence crisis on this market.

Suggested Citation

  • Pavla Klepková Vodová, 2015. "Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(6), pages 1953-1960.
    • Handle: RePEc:mup:actaun:actaun_2015063061953
    DOI: 10.11118/actaun201563061953
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    1. Arion NEGRILÄ‚, 2010. "The Role of Stress-test Scenarios in Risk Management Activities and in the Avoidance of a New Crisis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 2(2(543)), pages 5-24, February.
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    4. Viral V. Acharya & Ouarda Merrouche, 2013. "Precautionary Hoarding of Liquidity and Interbank Markets: Evidence from the Subprime Crisis," Review of Finance, European Finance Association, vol. 17(1), pages 107-160.
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