{"id":6183,"date":"2026-10-30T12:41:57","date_gmt":"2026-10-30T12:41:57","guid":{"rendered":"https:\/\/interfinance.tsue.uz\/?p=6183"},"modified":"2026-11-12T12:44:07","modified_gmt":"2026-11-12T12:44:07","slug":"deposits-at-risk-backtesting-deposit-run-off-risk-and-simulating-bank-level-liquidity-shortfalls-in-uzbekistan","status":"publish","type":"post","link":"https:\/\/interfinance.tsue.uz\/?p=6183","title":{"rendered":"DEPOSITS-AT-RISK: BACKTESTING DEPOSIT RUN-OFF RISK AND SIMULATING BANK-LEVEL LIQUIDITY SHORTFALLS IN UZBEKISTAN"},"content":{"rendered":"

Shokhrukh Komilov<\/em><\/strong><\/p>\n

PhD candidate, (Mamun University) <\/em><\/p>\n

E-mail: <\/em>shokhrukhkomilov1@gmail.com<\/em><\/a><\/p>\n

ORCID: 0009-0001-2739-1852<\/em><\/p>\n

Abstract. <\/em><\/strong>Aggregate liquidity indicators for Uzbekistan\u2019s banking sector are strong \u2014 the liquidity coverage ratio (LCR) stood at 208% at the start of 2026 \u2014 yet aggregates can conceal bank-level fragility. This paper develops a Deposits-at-Risk (DaR) framework for the 30-day run-off horizon used in liquidity regulation. Using 88 monthly observations (January 2019 \u2013 April 2026) of household and corporate deposits in national and foreign currency compiled from Central Bank of Uzbekistan statistical bulletins, one-month DaR is estimated with four models and 204 out-of-sample forecasts are backtested with the Kupiec and Christoffersen tests. Deposit-flow shocks are skewed towards inflows and have a thin lower tail (GPD \u03be = \u22120.36); consequently, symmetric normal models overstate run-off risk and fail coverage tests, whereas filtered historical simulation with an extreme-value tail delivers accurate 99% coverage (0.98% against 1%), and historical simulation passes all fourteen robustness tests. Corporate foreign-currency deposits are the most volatile segment, having fallen by 40% in US-dollar terms in the first half of 2023. A Monte Carlo simulation of a synthetic 34-bank system calibrated to published concentration and liquidity data shows that, in the system\u2019s worst 1% of months, at least one bank exhausts its usable liquid assets with a probability of 18%, rising to 88% if digital channels triple the speed of household withdrawals. At bank level, household run-off can exceed the Basel III assumption of 10%.<\/em><\/p>\n

Keywords: <\/em><\/strong>Deposits-at-Risk; liquidity risk; bank runs; extreme value theory; backtesting; Monte Carlo simulation; Uzbekistan.<\/em><\/p>\n\n","protected":false},"excerpt":{"rendered":"

Shokhrukh Komilov PhD candidate, (Mamun University) E-mail: shokhrukhkomilov1@gmail.com ORCID: 0009-0001-2739-1852 Abstract. Aggregate liquidity indicators for Uzbekistan\u2019s banking sector are strong \u2014 the liquidity coverage ratio (LCR) stood at 208% at the start of 2026 \u2014 yet aggregates can conceal bank-level Read More …<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[79],"tags":[],"class_list":["post-6183","post","type-post","status-publish","format-standard","hentry","category-2026-5-issue-1-6"],"yoast_head":"\nDEPOSITS-AT-RISK: BACKTESTING DEPOSIT RUN-OFF RISK AND SIMULATING BANK-LEVEL LIQUIDITY SHORTFALLS IN UZBEKISTAN - Journal of International Finance and Accounting<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/interfinance.tsue.uz\/?p=6183\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"DEPOSITS-AT-RISK: BACKTESTING DEPOSIT RUN-OFF RISK AND SIMULATING BANK-LEVEL LIQUIDITY SHORTFALLS IN UZBEKISTAN - Journal of International Finance and Accounting\" \/>\n<meta property=\"og:description\" content=\"Shokhrukh Komilov PhD candidate, (Mamun University) E-mail: shokhrukhkomilov1@gmail.com ORCID: 0009-0001-2739-1852 Abstract. Aggregate liquidity indicators for Uzbekistan\u2019s banking sector are strong \u2014 the liquidity coverage ratio (LCR) stood at 208% at the start of 2026 \u2014 yet aggregates can conceal bank-level Read More ...\" \/>\n<meta property=\"og:url\" content=\"https:\/\/interfinance.tsue.uz\/?p=6183\" \/>\n<meta property=\"og:site_name\" content=\"Journal of International Finance and Accounting\" \/>\n<meta property=\"article:published_time\" content=\"2026-10-30T12:41:57+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2026-11-12T12:44:07+00:00\" \/>\n<meta name=\"author\" content=\"jurnal-admin\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"jurnal-admin\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"2 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\\\/\\\/interfinance.tsue.uz\\\/?p=6183#article\",\"isPartOf\":{\"@id\":\"https:\\\/\\\/interfinance.tsue.uz\\\/?p=6183\"},\"author\":{\"name\":\"jurnal-admin\",\"@id\":\"https:\\\/\\\/interfinance.tsue.uz\\\/#\\\/schema\\\/person\\\/4a9988bcb6588f9a14bc8bf9802ad53a\"},\"headline\":\"DEPOSITS-AT-RISK: BACKTESTING DEPOSIT RUN-OFF RISK AND SIMULATING BANK-LEVEL LIQUIDITY SHORTFALLS IN UZBEKISTAN\",\"datePublished\":\"2026-10-30T12:41:57+00:00\",\"dateModified\":\"2026-11-12T12:44:07+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\\\/\\\/interfinance.tsue.uz\\\/?p=6183\"},\"wordCount\":272,\"commentCount\":0,\"publisher\":{\"@id\":\"https:\\\/\\\/interfinance.tsue.uz\\\/#organization\"},\"articleSection\":[\"2026-5-issue-1-6\"],\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"CommentAction\",\"name\":\"Comment\",\"target\":[\"https:\\\/\\\/interfinance.tsue.uz\\\/?p=6183#respond\"]}]},{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/interfinance.tsue.uz\\\/?p=6183\",\"url\":\"https:\\\/\\\/interfinance.tsue.uz\\\/?p=6183\",\"name\":\"DEPOSITS-AT-RISK: BACKTESTING DEPOSIT RUN-OFF RISK AND SIMULATING BANK-LEVEL LIQUIDITY SHORTFALLS IN UZBEKISTAN - 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