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Les risques de liquidité bancaire : définitions, interactions et réglementation

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  • Youssef Azzouzi Idrissi
  • Philippe Madiès

Abstract

This article shows that the polymorphic nature of liquidity and consequently liquidity risk by analyzing three types of liquidity and their associated risks, namely the Central Bank liquidity, the Market liquidity and the Funding liquidity. It emphasizes the interactions between Market liquidity risk and Funding liquidity risk and shows how these two types of risk reinforce each other. This analytical framework enables us to evaluate the Basel III proposals for the control of bank illiquidity risk by focusing on two new liquidity ratios, the ?short term? liquidity ratio or LCR and the ?long term? liquidity ratio or NSFR. We show the virtues and also the limitations of these proposals and suggest some avenues neglected by the regulator. Classification JEL: G20, G21, G28.

Suggested Citation

  • Youssef Azzouzi Idrissi & Philippe Madiès, 2012. "Les risques de liquidité bancaire : définitions, interactions et réglementation," Revue d'économie financière, Association d'économie financière, vol. 0(3), pages 315-332.
    • Handle: RePEc:cai:refaef:ecofi_107_0315
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    JEL classification:

    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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