Practical aspects in measuring and monitoring the liquidity risk pursuant to the Basel III international framework
AbstractThe practical aspects of liquidity risk measurement and monitoring are demonstrated according to the Basel III New International Framework of the Basel Committee. The computation models of the Liquidity Coverage Ratio – LCR and the Net Stable Funding Ratio – NSFR are tested on the grounds of real examples. The algorithm of calculating LCR is presented in details. All its variations are calculated with simplified examples of repo and reverse repo transactions. The new global standards for bank liquidity shall be introduced and tested first in the EU, Japan and the USA.
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Bibliographic InfoArticle provided by Bulgarian Academy of Sciences - Economic Research Institute in its journal Economic Thought.
Volume (Year): (2012)
Issue (Month): 5 ()
Find related papers by JEL classification:
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
- G01 - Financial Economics - - General - - - Financial Crises
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Adrian Blundell-Wignall & Paul Atkinson, 2010. "Thinking beyond Basel III: Necessary Solutions for Capital and Liquidity," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2010(1), pages 9-33.
- Ulrich Bindseil & Jeroen Lamoot, 2011. "The Basel III framework for liquidity standards and monetary policy implementation," SFB 649 Discussion Papers SFB649DP2011-041, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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