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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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The bank liquidity channel of financial (in)stability
Bosshardt, Joshua; Kakhbod, Ali; Saidi, Farzad - 2021
We examine the system-wide effects of liquidity regulation on banks’ balance sheets. In the general equilibrium model, banks have to hold liquid assets, and choose among illiquid assets varying in the extent to which they are difficult to value before maturity, e.g., structured securities. By...
Persistent link: https://www.econbiz.de/10012614764
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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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Implications of bank regulation for loan supply and bank stability : a dynamic perspective
Bucher, Monika; Dietrich, Diemo; Hauck, Achim - 2018
A bank's decision on loan supply and capital structure determines its immediate bankruptcy risk as well as the future availability of internal funds. These internal funds in turn determine a bank's future costs of external finance and future vulnerability to bankruptcy risks. We study these...
Persistent link: https://www.econbiz.de/10011918996
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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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Optimal regulation of credit lines
Gutiérrez, José E. - 2023
Persistent link: https://www.econbiz.de/10014366190
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Credit valuation adjustment modelling during a global low interest rate environment
Macek, Petr; Teplý, Petr - 2015
The 2008/2009 global crisis highlighted the vulnerabilities and inter-dependencies in the financial system including the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper, we deal with risk under Basel III banking regulation and...
Persistent link: https://www.econbiz.de/10010468530
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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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The leverage ratio, risk-taking and bank stability
Smith, Jonathan Acosta; Grill, Michael; Lang, Jan Hannes - 2017
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III Leverage Ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a...
Persistent link: https://www.econbiz.de/10011662963
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An empirical study on the impact of Basel III standards on banks’ default risk : the case of Luxembourg
Giordana, Gastón Andrés; Schumacher, Ingmar - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-21
We study how the Basel III regulations, namely the Capital-to-Assets Ratio (CAR), the Net Stable Funding Ratio (NSFR … 2003q2–2011q3. We econometrically investigate whether historical LCR and NSFR components, as well as CAR positions are able … default. We find that the liquidity regulation focusing on maturity mismatches (i.e., NSFR) induces a decrease in average …
Persistent link: https://www.econbiz.de/10011669011