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Vietnamese Bank Liquidity Risk Study Using the Risk Assessment Model of Systemic Institutions

  • Thanh DuongEmail author
  • Duc Pham-Hi
  • Phuong Phan
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 360)

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.

Keywords

Liquidity risk stress testing contagion default risk management 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Quantitative and Computational FinanceJohn von NeumannHo Chi MinhVietnam
  2. 2.Financial EngineeringECE Paris Graduate School of EngineeringParisFrance
  3. 3.John von Neumann InstituteHo Chi MinhVietnam

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