Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/249677 
Year of Publication: 
2022
Publisher: 
ZBW - Leibniz Information Centre for Economics, Kiel, Hamburg
Abstract: 
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.
Subjects: 
Bank run
liquidity
game theory
option pricing
JEL: 
C72
G01
G21
Document Type: 
Working Paper

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