Liquidity Scenario Analysis in the Luxembourg Banking Sector
This paper aims to develop the basis for an approach to measure the liquidity risk sensitivity of banks in Luxembourg and to test it on real banking sector data. For this purpose we have developed four different scenarios: run on a bank, use of committed loans by counterparties, netting of the position with the parent financial group and changes in conditions of refinancing operations with the Eurosystem. The impact of all four simulations is measured by relative changes of liquidity ratios that have been introduced for this purpose. In a second step, this methodology is tested on a sample of 32 banks active in the Luxembourg banking sector aiming at identifying the most severe scenario or a combination of scenarios and the most vulnerable banks of the sample.
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- Petr Jakubík & Jaroslav Heřmánek, 2008.
"Stress testing of the Czech banking sector,"
Working Papers IES
2008/02, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2008.
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