Liquidity risk under Basel III in the EU
| Author: | Mgr. Alžběta Mošnová |
|---|---|
| Year: | 2014 - winter |
| Leaders: | prof. PhDr. Petr Teplý Ph.D. |
| Consultants: | |
| Work type: | Economic Theory Masters |
| Language: | English |
| Pages: | 84 |
| Awards and prizes: | M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance. |
| Link: | https://is.cuni.cz/webapps/zzp/detail/133653/ |
| Abstract: | In order to address the deficiencies in the banking regulation revealed by the recent financial crisis the Basel III introduces two minimum st andards for funding liquidity, Liquidity Coverage Ratio ( LCR ) and Net Stable Funding Ratio ( NSFR ) . The goal of this thesis is to analyze whether the NSFR is defined optimally or whether the Basel Committee on Banking Supervision ( BCBS ) will be forced to relax NSF R conditions similarly as happened by the LCR. Based on the approximation of the NS FR between 2007 and 2012 for a sample of 3 128 European banks we test the ab ility of banks to satisfy the NSFR . Our results suggest that the European banks have not started to converge to the NSFR yet . D espite this fact they should not have problems with meeting this requirement as 40.3% of banks in our sample would have already satisfied the NSFR in 2011 . A Probit model analysis sugges ts that the NSFR requirement will decrea se the probability of bank defaults and therefore increase the stability of the banking sector in the future which proves that the NSFR is correctly specified . Moreover, a simple stress testing shows that the stability of the system would not be improved a nymore if the NSFR was define d more strictly . The current version of the NSFR therefore seems to be optimal and in our opinion sho uld be implemented earlier than in 201 |
