Liquidity Stress Test of Banking Network: Systemic impact

کد مقاله : 1043-FEMATH8

نویسندگان

حسن داداشی * هییت علمی

چکیده مقاله

In measuring the liquidity risk of a group of banks, we apply the liquidity stress test in the banking network. We take into account two channels of systemic risk, asset commonality and financial interconnectedness. The dynamics of financial distress within the banking network is used and the liquidity coverage ratio is considered as an indicator to deleverage the portfolio. We apply this stress test framework to the Iran's banking system and identify systemic vulnerability of individual banks as well as the resilience of the system as a whole to an economic shock. The framework helps us identify and monitor systemic interdependencies between banks. Moreover, we compare the realized losses obtained from two channels of systemic risk for different magnitude of shocks.

کلیدواژه ها

Liquidity coverage ratio, Distress rank, Common asset portfolio, Economic shock

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