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The cost of complying with Basel III liquidity regulations for South African banks

Diesel, Howard; Nkuna, Mukelani; Olds, Tim; Steenkamp, Daan - 2022

Persistent link: https://www.econbiz.de/10013348378

How have banks been managing the composition of high-quality liquid assets?

Ihrig, Jane; Kim, Edward; Kumbhat, Ashish; Vojtech, Cindy; … - 2017

Persistent link: https://www.econbiz.de/10011803000

The liquidity coverage ratio and security prices

Fuhrer, Lucas Marc; Müller, Benjamin; Steiner, Luzian - 2016

What is the added value of a security which qualifies as a "high-quality liquid asset" (HQLA) under the Basel III … (2013), call it HQLA premium. To do so, we exploit the introduction of the LCR in Switzerland as a unique quasi …-natural experiment and we find evidence for the existence of an HQLA premium in the order of 4 basis points. Guided by theoretical …

Persistent link: https://www.econbiz.de/10011541259

The Liquidity Coverage Ratio: the need for further complementary ratios?

Ojo, Marianne - Volkswirtschaftliche Fakultät, … - 2013

This paper considers components of the Liquidity Coverage Ratio – as well as certain prevailing gaps which may necessitate the introduction of a complementary liquidity ratio. The definitions and objectives accorded to the Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)...

Persistent link: https://www.econbiz.de/10011259211