Giordana, Gastón Andrés; Schumacher, Ingmar - In: Journal of Risk and Financial Management 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 …) and the Liquidity Coverage Ratio (LCR), are likely to impact banks' profitability (i.e., ROA), capital levels and default … 2003q2-2011q3. We econometrically investigate whether historical LCR and NSFR components, as well as CAR positions are able …