Model of Stress-testing of Banks’ Liquidity Risk in Ukraine
Анотація
The global financial crisis has shown how important is the role of liquidity risk in ensuring the stability of the banking system, and revealed a number of deficiencies in its regulation, both at the level of individual banks and at the level of banking regulation and supervision. It is necessary to develop new instruments and improve of existing instruments for protection the banking system from the negative effects of liquidity risk. These tools necessarily include stress testing of liquidity risk. In order to increase the efficiency of liquidity risk management of Ukrainian banks at micro and macro levels, the authors propose to apply stress testing of liquidity of assets. The stress-testing model is based on three phases: the formation of a liquidity deficit in the balance as a primary effect of the shocks; bank reactions to shocks; feedback effects from shocks. According to the model, the liquidity buffer is calculated and the banks have sufficient liquid assets to cover the liquidity deficit.
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