liquidity in the Bank of England's (BoE) operations. Between 2010 and 2016 there was regular usage of two BoE facilities … facilities to meet their liquidity needs. Collateral assets used for FLS are less liquid, since almost all assets are loan … not subsequently draw upon FLS more than others do. Overall, our study points to no systemic misincentives; rather banks …

We study how banks' capital level affects the extent to which they engage in liquidity transformation. We first …-ons. We find that banks engage in less liquidity transformation when their capital increases, which suggests that capital and … banks. These results have interesting implications for the optimal joint calibration of capital and liquidity requirements …

asset class on banks' balance sheets — they do not take into account bias arising from small samples or non-Gaussian risk … factors. Adjusting for these biases using a non-Gaussian, non-linear state space model I find that the Basel calibration is …

their liquidity buffers from 1976 to the 2008 crisis. Diversified banks also hold more illiquid small business loans, less … liquid mortgages, and have higher net liquidity creation. During the crisis, however, better diversified banks hoard more …This paper shows that US banks' increased geographic diversification is an important explanation for the decline of …

requirements has been a reduction in the liquidity of fixed income markets. We assess this claim in the context of the gilt (UK … government bond) and gilt repo markets. We find that gilt repo liquidity worsened during the period when UK leverage ratio policy … was announced, and that gilt liquidity worsened conditional on factors such as funding costs and inventory risk. We also …

We examine how banks' cross-border lending reacts to changes in liquidity regulation using a new dataset on Individual …. A one percentage point increase in liquidity requirements to total assets reduces UK resident banks' cross … Liquidity Guidance (ILG), which was enacted in the UK from 2000 to 2015 and is similar to the Basel III Liquidity Coverage Ratio …

buffers, a key component of the Basel III reforms, helped to support lending provision by UK banks through Covid‑19. To … guaranteed lending schemes. We find that more constrained banks defended their capital surpluses to a greater extent during the …, banks receiving greater capital relief from the cut to the UK countercyclical capital buffer during the pandemic maintained …

(ECL) on the cyclicality of loan write-off losses, loan loss provisions (LLPs) and capital ratios of banks, relative to the … probabilities of defaults (PDs) between booms and busts cause sharp increases in LLPs in deep downturns, as seen for US banks during …

resolving bank failures when the authorities cannot observe the level of non-performing loans (NPLs) held by individual banks …. Under asymmetric information, we show that the first-best outcome is achievable when the authorities can close all banks … that fail to raise a minimum level of new capital. But when the authorities cannot close banks and must rely on financial …

integrating equity market and balance sheet information in a structural default risk model. The expected losses of multiple banks … tail risks of the four largest UK commercial banks …