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How Do Banks Adapt Their Asset Holdings to Binding Leverage Ratio and Liquidity Requirements under Basel III?
Ita, Andreas - 2017
Over the last years, the capital regulation of banks under the Basel framework has undergone a fundamental review. In parallel to the implementation of Basel III, a non-risk-sensitive leverage ratio and new liquidity standards are introduced. I study the combined impact of the new regime on the...
Persistent link: https://www.econbiz.de/10012967019
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...
Persistent link: https://www.econbiz.de/10012849054
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Bank capital, liquid reserves, and insolvency risk
Hugonnier, Julien; Morellec, Erwan - 2015
regulatory requirements. Our analytic characterization of the bank policy choices shows that imposing solely liquidity … requirements leads to lower bank losses in default at the cost of an increased likelihood of default. Combining liquidity … requirements with leverage requirements reduces drastically both the likelihood of default and the magnitude of bank losses in …
Persistent link: https://www.econbiz.de/10011293576
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Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity
Cont, Rama - 2020
The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...
Persistent link: https://www.econbiz.de/10012828230
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Strategic liquidity mismatch and financial sector stability
Silva, André F. - 2019
This paper examines whether banks strategically incorporate their competitors' liquidity mismatch policies when determining their own and how these collective decisions impact financial sector stability. Using a novel identification strategy exploiting the presence of partially overlapping peer...
Persistent link: https://www.econbiz.de/10012182410
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Liquidity Stress Testing in Asset Management - Part 1. Modeling the Liability Liquidity Risk
Roncalli, Thierry; Karray-Meziou, Fatma; Pan, François; … - 2021
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market...
Persistent link: https://www.econbiz.de/10013251789
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Bank's Liquidity Management and Financial Fragility
Deidda, Luca - 2019
We propose a novel theory of banks' liquidity management and financial fragility. Banks hold liquidity and an illiquid productive asset, thereby engaging in maturity transformation, and insure their depositors against idiosyncratic and aggregate shocks. However, strategic complementarities in...
Persistent link: https://www.econbiz.de/10012862254
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Market timing, maturity mismatch, and risk management : evidence from the banking industry
Ruprecht, Benedikt; Entrop, Oliver; Kick, Thomas; … - 2013
likelihood of bank distress makes banks reduce their on-balance sheet interest rate exposure and simultaneously intensify their …
Persistent link: https://www.econbiz.de/10010248947