The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful early warning signals that regulators could have used to...

We present a comprehensive analysis to calculate the Basel III liquidity coverage ratio (LCR) and the net stable funding ratio (NSFR) of U.S. commercial banks using Call Report data over the period 2001–2011, and provide indirect empirical evidence on net cash outflow rates of certain...