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Financial Sustainability - Game Theory Analysis of Options Approach for a Czech Bank

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  • Janda, Karel
  • Marek, Petr

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.

Suggested Citation

  • Janda, Karel & Marek, Petr, 2022. "Financial Sustainability - Game Theory Analysis of Options Approach for a Czech Bank," EconStor Preprints 249677, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:249677
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    File URL: https://www.econstor.eu/bitstream/10419/249677/1/Run04.pdf
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    More about this item

    Keywords

    Bank run; liquidity; game theory; option pricing;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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