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Sovereign collateral as a Trojan Horse : why do we need an LCR+

Buschmann, Christian; Schmaltz, Christian - In: Journal of financial stability 33 (2017), pp. 311-330

Persistent link: https://www.econbiz.de/10011877763

On the economics of committed liquidity facilities

Bech, Morten; Keister, Todd - Bank for International Settlements (BIS) - 2014

We study the effects of the new Basel III liquidity regulations in jurisdictions with a limited supply of high-quality liquid assets. Using a model based on Bech and Keister (2013), we show how introducing a liquidity coverage ratio in such settings can have significant side effects, leading to...

Persistent link: https://www.econbiz.de/10010849788

Liquidity regulation and the implementation of monetary policy

Bech, Morten L.; Keister, Todd - Bank for International Settlements (BIS) - 2013

In addition to revamping existing rules for bank capital, Basel III introduces a new global framework for liquidity regulation. One part of this framework is the liquidity coverage ratio (LCR), which requires banks to hold sufficient high-quality liquid assets to survive a 30-day period of...

Persistent link: https://www.econbiz.de/10010723568

The impacts of financial regulations : solvency and liquidity in the post-crisis period

Baker, Colleen; Cummings, Christine; Jagtiani, Julapa - In: Journal of financial regulation and compliance : an … 25 (2017) 3, pp. 253-270

Persistent link: https://www.econbiz.de/10011798941

Are Basel III requirements up to the task? : evidence from bankruptcy prediction models

Durand, Pierre; LeQuang, Gaëtan; Vialfont, Arnold - 2023

Persistent link: https://www.econbiz.de/10014326875

The Net Stable Funding Ratio and banksï¿½ participation in monetary policy operations: some evidence for the euro area

Scalia, Antonio; Longoni, Sergio; Rosolin, Tiziana - Banca d'Italia - 2013

Based on a review of the analytical underpinnings of the effects of the NSFR on banksï¿½ choices, this paper attempts …-so-near implementation date, the evidence is that the NSFR already matters for banksï¿½ choices, and it might be more relevant as a decision … banks with a shortfall and that the NSFR may affect loans to the economy. In view of the phasing-in of the Basel III …

Persistent link: https://www.econbiz.de/10011100343

The impacts of financial regulations: solvency and liquidity in the post-crisis period

Baker, Colleen; Cummings, Christine; Jagtiani, Julapa - In: Journal of Financial Regulation and Compliance 25 (2017) 3, pp. 253-270

Purpose Basel III and the capital stress testing introduced new requirements and new definitions while retaining the structure of the pre-2010 requirements. The total number of requirements increased, making it difficult to determine which and how many constraints are binding. The purpose of...

Persistent link: https://www.econbiz.de/10014870659

Basel liquidity regulation and credit risk market perception : evidence from large European banks

Simion, Giorgia; Rigoni, Ugo; Cavezzali, Elisa; Veller, … - In: Research in international business and finance 69 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10015052360

Convert-to-Surrender Bonds: A Proposal of How to Reduce Risk-Taking Incentives in the Banking System

Berg, Tobias; Kaserer, Christoph - 2011

We argue that contingent convertible capital (CoCo-Bonds) might have perverse risk-taking incentives for banks (asset substitution problem) and discourage them from investing in positive NPV projects and issuing new equity in times of crisis (debt overhang problem). Whenever the conversion price...

Persistent link: https://www.econbiz.de/10010305972

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/10011340608