Arbeitspapier
Financial Sustainability - Game Theory Analysis of Options Approach for a Czech Bank
This paper applies a model of bank run based on game theory analysis of options to the real world case of the Czech retail bank Air Bank a. s. We discuss the main factors affecting the susceptibility of Czech banks to bank run. We estimate the equity value which triggers bank run for Air Bank´s a. s. clients. We also simulate a possible bank run, using a liquidity stress test, which is similar to stress tests used by some European supervisory authorities. We provide alternative estimates of critical value of bank's equity after the attainment of which depositors withdraw their deposits and by doing so trigger a bank run.
- Language
-
Englisch
- Classification
-
Wirtschaft
Noncooperative Games
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
-
Bank run
liquidity
game theory
option pricing
- Event
-
Geistige Schöpfung
- (who)
-
Janda, Karel
Marek, Petr
- Event
-
Veröffentlichung
- (who)
-
ZBW - Leibniz Information Centre for Economics
- (where)
-
Kiel, Hamburg
- (when)
-
2022
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Janda, Karel
- Marek, Petr
- ZBW - Leibniz Information Centre for Economics
Time of origin
- 2022
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