LIQUIDITY RISK SENSITIVITY OF POLISH COMMERCIAL BANKS

The aim of this paper is to measure the liquidity risk sensitivity of Polish commercial banks and to find out the most severe scenario and the most vulnerable banks. We used three different scenarios which should generate a liquidity outflow: run on a bank, confidence crisis on the interbank market and use of committed loans by counterparties. We have found that the most severe scenario for Polish banking sector is run on a bank. A use of committed loans by counterparties would not be a problem for any bank during the whole analyzed period. The confidence crisis on the interbank market would not have any serious impact on bank liquidity. There is no link between size of the bank and its vulnerability to liquidity shocks.