The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of … banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …

We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject … to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks … interaction between capital and liquidity buffers. However, this interaction turns out to be weaker during a crisis. Although not …

policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and …

that banks respond to a negative funding liquidity shock in a number of ways. First, banks reduce lending, especially … wholesale lending. Second, banks hoard liquidity in the form of liquid bonds and central bank reserves. Third, banks conduct …The crisis of 2007-2009 has shown that financial market turbulence can lead to huge funding liquidity problems for …

We examine whether Fitch support ratings of US banks depend on bank size. Using quarterly data for the period 2004:Q4 … to 2012:Q4 and controlling for several factors that make large and small banks different, we find that bank size is …

-wide liquidity stress. Using firm-specific balance sheet data, we construct aggregate indicators of macro-prudential risk. Measures …

We use focused interviews with bank managers to analyse how multinational banks use internal capital markets to control … their subsidiaries. It is found that foreign bank affiliates are strongly influenced by the capital allocation and credit … steering mechanisms of the parent bank. Parent banks generally set credit growth targets, which may then be supported by book …

corporate leverage literature in the sense that it focuses on bank behaviour. The results, as they come forward in the paper …

This paper presents a macro stress-testing model for market and funding liquidity risks of banks, which have been main …, induced by behavioural reactions of heterogeneous banks, and idiosyncratic reputation effects. The impact on liquidity risk is … simulated by a Monte Carlo approach. This generates distributions of liquidity buffers for each scenario round, including the …

value theory. In contrast to previous studies, the method does not assume specific dependence structure among bank equity …