We present a macro stress-testing model for banks' market and funding liquidity risks with a survival period of one year. The model follows the main principles of the Basel standards LCR and NSFR. Besides, the model takes into account the impact of both bank-specific and market-wide scenarios and includes second- round effects of shocks due to banks' feedback reactions. The presented methodology is then applied to a sample of Czech banks. This allows us to monitor the sensitivity of their liquidity position to the combination of shocks under consideration.

中文翻译：

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具有巴塞尔流动性标准的流动性风险应力测试框架

我们为银行的市场和资金流动性风险提供了一个宏观压力测试模型，生存期为一年。该模型遵循巴塞尔标准LCR和NSFR的主要原理。此外，该模型考虑了特定银行和整个市场情况的影响，并包括了由于银行的反馈反应而产生的冲击的第二轮影响。然后将提出的方法应用于捷克银行的样本。这使我们能够监控其流动性头寸对所考虑的冲击组合的敏感性。