The implementation of Basel III introduces new capital requirements for liquidity risk that build on the Liquidity Coverage Ratio(LCR) and the Net Stable Funding Ratio (NSFR). We adopt a nonhomogeneous Markov model framework to study liquidity dynamics on a simulated interbank network and test whether the implementation of the new regulation allows for efficient networks. The model simulates the effect of two different policies on the interbank network efficiency.
Interbank Networks and Liquidity Risk
Marina Dolfin
;Leone Leonida;Eleonora Muzzupappa
2022-01-01
Abstract
The implementation of Basel III introduces new capital requirements for liquidity risk that build on the Liquidity Coverage Ratio(LCR) and the Net Stable Funding Ratio (NSFR). We adopt a nonhomogeneous Markov model framework to study liquidity dynamics on a simulated interbank network and test whether the implementation of the new regulation allows for efficient networks. The model simulates the effect of two different policies on the interbank network efficiency.File in questo prodotto:
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