Abstract
This paper presents a liquidity risk management model allows to assess the impact of stress scenarios on a banking system within a top-down approach. The impact of stress scenarios on a banking system includes: (i) individual bank reactions to the shock, (ii) the shock transmission across banks, through interbank networks and financial market channels and (iii) the recover rate, the proportion of the debt a creditor receives in an event of a default. The macro economic model is estimated and simulated quarterly and the data in balance sheet is yearly for the Vietnamese banking system. The results show a high vulnerability of the trading portfolios and interbank market.
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Duong, T., Pham-Hi, D., Phan, P. (2015). Vietnamese Bank Liquidity Risk Study Using the Risk Assessment Model of Systemic Institutions. In: Le Thi, H., Pham Dinh, T., Nguyen, N. (eds) Modelling, Computation and Optimization in Information Systems and Management Sciences. Advances in Intelligent Systems and Computing, vol 360. Springer, Cham. https://doi.org/10.1007/978-3-319-18167-7_35
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DOI: https://doi.org/10.1007/978-3-319-18167-7_35
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-18166-0
Online ISBN: 978-3-319-18167-7
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