Basel III Liquidity Risk Measures and Bank Failure

Basel III Liquidity Risk Measures and Bank Failure

Basel III banking regulation emphasizes the use of liquidity coverage and nett stable funding ratios as measures of liquidity risk. In this paper, we approximate these measures by using global liquidity data for 391 hand-selected, LIBOR-based, Basel II compliant banks in 36 countries for the period...

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Bibliographic Details
Main Authors: L. N. P. Hlatshwayo, M. A. Petersen, J. Mukuddem-Petersen, C. Meniago
Format: Article
Language:English
Published: Wiley 2013-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2013/172648
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