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Il rischio di liquidità: regolamentazione e best practice
[Liquidity Risk: Supervisory Models and Best Practices]

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  • Panetta, I. C.
  • Porretta, P.

Abstract

In the light of the recent financial market turmoil, this paper focuses on liquidity risk management from the point of view of both supervisory authorities and large financial institutions. This research aims at pointing out the main differences between national regulations and supervisory regimes in the most important EU Countries (UK, DE, IT, FR, SP), trying to explain the rationale and the limits of the different approaches. Taking into account liquidity risk management models adopted in the major banking groups within the same countries, this paper also suggests the most significant issues to be considered in order to implement effective liquidity risk management. Areas of convergence/divergence at international level are highlighted and “food for thought” is offered on a subject that is gaining more and more attention of academics and officials worldwide, that is to say the importance of finding regulatory solutions and management models suited to 'remove' systemic crisis.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36358.

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Date of creation: Mar 2009
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Publication status: Published in Bancaria March.3(2009): pp. 65-83
Handle: RePEc:pra:mprapa:36358

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Related research

Keywords: Liquidity risk; Financial turmoil; Banking supervision;

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  1. Franklin Allen & Douglas Gale, 1976. "Optimal Financial Crises," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 97-01, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Rochet, Jean-Charles & Vives, Xavier, 2004. "Coordination Failures and the Lender of Last Resort : Was Bagehot Right After All?," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 294, Institut d'Économie Industrielle (IDEI), Toulouse.
  3. Stephen Morris & Hyun Song Shin, 2004. "Liquidity Black Holes," Review of Finance, Springer, Springer, vol. 8(1), pages 1-18.
  4. Bengt Holmstrom & Jean Tirole, 1996. "Private and Public Supply of Liquidity," NBER Working Papers 5817, National Bureau of Economic Research, Inc.
  5. Diamond, Douglas W & Dybvig, Philip H, 1983. "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 91(3), pages 401-19, June.
  6. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, American Economic Association, vol. 92(4), pages 874-888, September.
  7. Praet, P. & Herzberg, V., 2008. "Market liquidity and banking liquidity: linkages, vulnerabilities and the role of disclosure," Financial Stability Review, Banque de France, Banque de France, issue 11, pages 95-109, February.
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