In this paper we study the impact of the Basel III liquidity regulations, namely the Liquidity Coverage Ratio (LCR) and … the Net Stable Funding Ratio (NSFR), on the bank lending channel in Luxembourg. For this aim we built, based on individual … bank data, time series of the LCR and NSFR for a sample of banks covering between 82% and 100% of total assets of the …

ratio, liquidity coverage ratio and net stable funding ratio. Banks are required to be compliant with all four constraints … Basel II, but not with the Basel III-, capital-, leverage- and net stable funding-ratio. Assuming that its business model is … optimal under Basel II, we find that this bank would achieve compliance restructuring its funding side by replacing interbank …

and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed …

collateralization highly impact collateral management through the increase in haircuts and funding of good-quality collateral. As a … balance position and identifying the need in cash funding or transforming. We built our approach on three key standards: • In …). • Considering Management of Liquidity Issues, banks should carefully consider Collateral Management in case of liquidity issues (e …

literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad … ones but refinancing solvent ones. This paper models a "dark side" of wholesale funding. In an environment with a costless … public signals, triggering inefficient liquidations. We show that the "dark side" of wholesale funding dominates the "bright …

their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation …

constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

average, institutional shareholders are net sellers during share repurchases. After controlling for liquidity provision and … attributed to institutional investors executing liquidity provision strategies, 8% is explained by institutions reacting to the …

. We focus on liquidity (market and funding), contagion and systemic risk, which have attracted a particularly large … interest in the last years of financial turmoil. Firstly, we construct a funding liquidity factor based on the contagion … extra component related to funding liquidity to the standard DCoVaR model. In this way we obtain a countercyclical measure …