Acta Univ. Agric. Silvic. Mendelianae Brun. 2015, 63(6), 1953-1960 | DOI: 10.11118/actaun201563061953

Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market

Pavla Klepková Vodová
Department of Finance and Accounting, School of Business Administration in Karvina, Silesian University in Opava, Univerzitní náměstí 1934/3, 733 40 Karviná, Czech Republic

The aim of this paper is to measure the sensitivity of commercial banks from the Erste Group to the confidence crisis on the interbank market and to compare their sensitivity with average sensitivity of banks in particular countries. We have used the methodology of scenario analysis for the liquid asset ratio. All banks belonging to the Erste Group should be able to withstand the confidence crisis on the interbank market. The group of the most vulnerable banks consists from Erste bank Hungary and Banca Comerciala Romana from Romania. In some cases, banks from the Erste Group are more sensitive; while in other cases are banks belonging to the Erste Group less vulnerable than corresponding banking sectors. Except of banks from Hungary, Romania and Slovakia, subsidiary banks are less sensitive to the confidence crisis than the parent bank. Banks (and banking sectors) who are net borrowers on the interbank market are much more sensitive to the confidence crisis on this market.

Keywords: liquidity risk, liquid asset ratio, scenario analysis, confidence crisis, interbank market, Erste Group, financial conglomerate
Grants and funding:

This paper was supported by the Ministry of Education, Youth and Sports Czech Republic within the Institutional Support for Long-term Development of a Research Organization in 2015.

Prepublished online: December 26, 2015; Published: January 1, 2016  Show citation

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Klepková Vodová, P. (2015). Banks Belonging to the Erste Group and their Sensitivity to the Confidence Crisis on the Interbank Market. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(6), 1953-1960. doi: 10.11118/actaun201563061953
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