Work detail

Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic

Author: Mgr. Hana Džmuráňová (16.6.2021)
Year: 2021 - summer
Leaders: doc. Ing. Zdeněk Tůma CSc.
Consultants:
Work type: Dissertations
Language: English
Pages: 197
Awards and prizes:
Link:
Abstract: The thesis Interest Rate Risk and Liquidity Risk of Banking Books in the Czech Republic deals with the management of interest rate risk and liquidity risk stemming from the core banking system purpose – maturity transformation. Across five articles, we provide comprehensive theoretical description, regulatory background, and develop models for embedded behavioural options of client products such as non-maturity deposits, with special focus on savings accounts in the Czech Republic in one of our case studies, or loans with prepayment option. We apply our models on the major Czech and Slovak banks and we calculate the exposure of those banks to interest rate risk in terms of regulatory guidelines. We derive that all banks in our analysis are positioned to benefit when interest rates increase as demand deposits like current accounts are traditionally stable sources of funding, while assets like mortgage loans or consumer loans reprice relatively quickly to new interest rates due to prepayment option as well as medium-term periods for which client interest rates are fixed. Such unified exposure of both banking systems can lead to systemic risk stemming from a squeeze in banks’ profitability due to low or negative interest rates.
August 2022
MonTueWedThuFriSatSun
1234567
891011121314
15161718192021
22232425262728
293031    

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY