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Пруденциальные требования по ликвидности и риск-ориентированный подход // Prudential liquidity requirements and a risk-based approach

Author

Listed:
  • Джусангалиева Камилла // Jussangaliyeva Kamilla

    (National Bank of Kazakhstan)

  • Миллер Алия // Miller Aliya

    (National Bank of Kazakhstan)

  • Хакимжанов Сабит // Khakimzhanov Sabit

    (National Bank of Kazakhstan)

Abstract

В этой статье анализируется казахстанская практика внедрения пруденциальных нормативов ликвидности (LCR и NSFR), рекомендованных Базельским комитетом по банковскому надзору (БКБН). В статье проводится анализ соответствия казахстанских нормативов стандартам Базеля, оценивается эффект альтернативных интерпретаций, обсуждается информативность и эффективность нормативов для отражения рисков фондирования и улучшения рыночных практик управления ликвидностью, их взаимодействие с другими нормативами и обусловленность регуляторной и конкурентной средой. // This paper analyzes Kazakhstan's practice of implementing prudential liquidity standards (LCR and NSFR) recommended by the Basel Committee on Banking Supervision (BCBS). The paper analyzes the compliance of Kazakhstan's standards with Basel standards, evaluates the effect of alternative interpretations, discusses the informativeness and effectiveness of standards to reflect funding risks and improve market liquidity management practices, their interaction with other standards and the conditionality of the regulatory and competitive environment.

Suggested Citation

  • Джусангалиева Камилла // Jussangaliyeva Kamilla & Миллер Алия // Miller Aliya & Хакимжанов Сабит // Khakimzhanov Sabit, 2022. "Пруденциальные требования по ликвидности и риск-ориентированный подход // Prudential liquidity requirements and a risk-based approach," Working Papers #2022-3, National Bank of Kazakhstan.
    • Handle: RePEc:aob:wpaper:28
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    Keywords

    риски ликвидности и фондирования; Базель III; показатели краткосрочной ликвидности и чистого стабильного финансирования (LCR; NSFR); liquidity and funding risks; Basel III; a liquidity coverage ratio and a net stable funding ratio; LCR; NSFR;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • 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
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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