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Practical aspects in measuring and monitoring the liquidity risk pursuant to the Basel III international framework

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  • Georgi Petrov Georgiev

Abstract

The practical aspects of liquidity risk measurement and monitoring are demonstrated according to the Basel III New International Framework of the Basel Committee. The computation models of the Liquidity Coverage Ratio – LCR and the Net Stable Funding Ratio – NSFR are tested on the grounds of real examples. The algorithm of calculating LCR is presented in details. All its variations are calculated with simplified examples of repo and reverse repo transactions. The new global standards for bank liquidity shall be introduced and tested first in the EU, Japan and the USA.

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  • Georgi Petrov Georgiev, 2012. "Practical aspects in measuring and monitoring the liquidity risk pursuant to the Basel III international framework," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 144-164.
    • Handle: RePEc:bas:econth:y:2012:i:5:p:144-164
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    1. Adrian Blundell-Wignall & Paul Atkinson, 2010. "Thinking beyond Basel III: Necessary Solutions for Capital and Liquidity," OECD Journal: Financial Market Trends, OECD Publishing, vol. 2010(1), pages 9-33.
    2. Yi-Kai Chen & Chung-Hua Shen & Lanfeng Kao & Chuan-Yi Yeh, 2018. "Bank Liquidity Risk and Performance," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-40, March.
    3. Bindseil, Ulrich & Lamoot, Jeroen, 2011. "The Basel III framework for liquidity standards and monetary policy implementation," SFB 649 Discussion Papers 2011-041, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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    Cited by:

    1. Kaelo Ntwaepelo & Grivas Chiyaba, 2022. "Financial Stability Surveillance Tools: Evaluating the Performance of Stress Indices," Economics Discussion Papers em-dp2022-06, Department of Economics, University of Reading.

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    More about this item

    JEL classification:

    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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