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

摘要

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.