Detail publikace

The Application of Interest Rate Risk Regulation on the Czech and Slovak Banking Sectors

Autor: Mgr. Hana Džmuráňová ,
Typ: Články v impaktovaných časopisech
Rok: 2020
Číslo: 0
ISSN / ISBN:
Publikováno v: Journal of Economics - SAV
Místo vydání:
Klíčová slova: economic value, embedded option, interest rate risk, market value, regulation
JEL kódy:
Citace:
Granty: GAUK 165215: Risk management of demand deposits
Abstrakt: This paper examines the regulation of Interest Rate Risk Management of the Banking Book in the Czech and Slovak banking sectors. We provide modeling of bank balance sheets in terms of regulatory requirements. The contribution of our paper is two-fold. First, we identify the key business drivers of Interest Rate Risk of the Banking Book of the Czech and Slovak banking sectors. Second, when comparing the interest rate risk of the banking book of both banking sectors, we find that major banks in both sectors report a higher interest rate risk from their client liabilities than from client assets. This fact implies that the banks are exposed to the risks inherent in rising interest rates. We find that the interest rate risk exposure of the Czech and Slovak banks is relatively high, and therefore, the potential contagion risk for large foreign owners with subsidiaries in both countries is not negligible.

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