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A model of bank behaviour for the assessment of the potential balance sheet impact of the NSFR liquidity requirement
Lang, Péter - 2017
for complying with the NSFR liquidity requirement. The suggested approach, which is also flexible enough to be applied in … results, banks react to the introduction of the NSFR by strongly increasing their high-quality liquid assets, as well as …
Persistent link: https://www.econbiz.de/10011617579
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Potential implications of a NSFR on German banks' credit supply and profitability
Schmitt, Matthias; Schmaltz, Christian - 2016
We study how a Net Stable Funding Ratio as defined by the Basel Committee in 2014 (NSFR (2014)) would affect the … profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we … find that 9% of German banks do not comply with the NSFR (2014). This is a significant reduction compared to the 39% that …
Persistent link: https://www.econbiz.de/10011541056
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The role of structural funding for stability in the German banking sector
Schupp, Fabian; Silbermann, Leonid - 2017
We analyze whether, and if so by how much, stable funding would have contributed to the financial soundness of German banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity mismatches in the wake of the financial crisis via the Net...
Persistent link: https://www.econbiz.de/10011627406
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The role of structural funding for stability in the German banking sector
Schupp, Fabian; Silbermann, Leonid - 2017
We analyze whether, and if so by how much, stable funding would have contributed to the financial soundness of German banks in the time period between 1995 and 2013, before the Basel III liquidity regulation to address excessive maturity mismatches in the wake of the financial crisis via the Net...
Persistent link: https://www.econbiz.de/10011608695
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Risk sensitivity of banks, interbank markets and the effects of liquidity regulation : conference paper
Pausch, Thilo - 2013 - First draft
The industrial organization approach to banking is extended to analyze the effects of interbank market activity and regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction between credit risk and liquidity risk of banks. This...
Persistent link: https://www.econbiz.de/10010344667
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The impact of the Basel III liquidity ratios on banks : evidence from a simulation study
Grundke, Peter; Kühn, André - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 167-190
Persistent link: https://www.econbiz.de/10012416452
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Basel III impact on the Italian banking sector
Sogiakas, Vasilios - In: Bulletin of applied economics 4 (2017) 2, pp. 51-55
Persistent link: https://www.econbiz.de/10011879083
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...
Persistent link: https://www.econbiz.de/10009509090
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The impact of Basel III indexes of leverage and liquidity CRDIV/CRR on bank performance : evidence from Greek banks
Boufounou, Paraskevi; Avdi, Kallirroi - In: Spoudai : journal of economics and business 66 (2016) 1/2, pp. 79-107
. However, the net stable funding ratio (NSFR) has a negative effect on both ROA and ROE in the crisis period. Reduced lending …
Persistent link: https://www.econbiz.de/10011494400
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Capital requirements, market structure, and heterogeneous banks
Müller, Carola - Leibniz-Institut für Wirtschaftsforschung Halle - 2022
Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this trade-off, I compare how different capital requirements affect default probabilities and the allocation of market shares across heterogeneous banks. In the model, banks‘...
Persistent link: https://www.econbiz.de/10013198370