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Modelling the liquidity ratio as macroprudential instrument
End, Jan Willem van den; Kruidhof, Mark - de Nederlandsche Bank - 2012
The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of … regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress …
Persistent link: https://www.econbiz.de/10010543516
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A macroprudential approach to address liquidity risk with the Loan-to-Deposit ratio
End, Jan Willem van den - de Nederlandsche Bank - 2013
policy to mitigate liquidity risk. We inspect the LTD trends and cycles of 11 euro area countries by filtering methods and …
Persistent link: https://www.econbiz.de/10010822694
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Simulations in the Dutch interbank payment system: A sensitivity analysis
Heijmans, Ronald - de Nederlandsche Bank - 2009
This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has...
Persistent link: https://www.econbiz.de/10005101806
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Simulating retaliation in payment systems: Can banks control their exposure to a failing participant?
Ledrut, Elisabeth - de Nederlandsche Bank - 2007
payment system, varying the time at which the disruption takes place. Liquidity levels equal historical levels. The impact of … such a disruption is quantified in terms of the additional liquidity needed in order to settle all payments than can settle …, banks are faced with costs, as they need to borrow this additional liquidity overnight from the market or from the central …
Persistent link: https://www.econbiz.de/10005053799