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2018 | OriginalPaper | Buchkapitel

Liability Risk Management of Central European Banks Under New Regulatory Requirements

verfasst von : Hana Džmuráňová, Martina Hejdová, Petr Teplý

Erschienen in: The Impact of Globalization on International Finance and Accounting

Verlag: Springer International Publishing

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Abstract

This paper describes liability risk management of Central European banks located in the Czech Republic, Slovakia, Poland, Austria and Hungary. We find that liabilities of the analysed banks have similar features and report similar exposure to both liquidity and interest rate risks. Additionally, we discuss the share of demand and term deposits on bank funding and its implications for liquidity and interest rate risk in relation to new regulatory requirements set by the Basel Committee for Banking Supervision. We conclude that these requirements might be challenging for the analysed banks because of their liabilities’ structure.

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For more details on liquidity risk see, for instance, Resti and Sironi (2007) or Černohorská et al. (2012).

In real situation, first-order derivation like the one presented in Eq. (2) shall be accompanied also by convexity measures and adjustment for basis risk; for details see Bohn and Elkenbracht-Huizing (2014).

Regarding pricing of demand deposits, for simplicity we follow results of Hejdová et al. (2017), and we say that NMD pricing is not sensitive to changes in market rates, which is reasonable assumption for the rest of ACs as well given the large share of transactional funding on total NMDs (BankScope database).

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Hejdová M, Džmuráňová H, Teplý P (2017) Interest rate sensitivity of non-maturing bank products. In: Procházka D (ed) New trends in finance and accounting. Springer Proceedings in Business and Economics. Springer, Cham

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Titel: Liability Risk Management of Central European Banks Under New Regulatory Requirements
verfasst von: Hana Džmuráňová
Martina Hejdová
Petr Teplý
Verlag: Springer International Publishing
Buch: The Impact of Globalization on International Finance and Accounting
Print ISBN: 978-3-319-68761-2

Electronic ISBN: 978-3-319-68762-9

Copyright-Jahr: 2018
DOI: https://doi.org/10.1007/978-3-319-68762-9_12