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Practical aspects in measuring and monitoring the liquidity risk pursuant to the Basel III international framework

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  • Georgi Petrov Georgiev
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    Abstract

    The 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 Info

    Article provided by Bulgarian Academy of Sciences - Economic Research Institute in its journal Economic Thought.

    Volume (Year): (2012)
    Issue (Month): 5 ()
    Pages: 144-164

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    Handle: RePEc:bas:econth:y:2012:i:5:p:144-164

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    1. 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.
    2. 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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