2013
DOI: 10.1155/2013/172648
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Basel III Liquidity Risk Measures and Bank Failure

Abstract: 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 2002 to 2012. In particular, we compare the risk sensitivity of the aforementioned Basel III liquidity risk measures to those of traditional measures such as the nonperforming assets ratio, return-on-assets, LIBOR-O… Show more

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Cited by 4 publications
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“…Meanwhile, banks need to keep their liquidity high so that they can quickly convert their assets into cash when depositors want to withdraw their money. This is in line with the Basel Committee on Banking Supervision's (BASEL) Third Basel Accord on Enhancing the Regulation and Supervision of Financial Institutions (BASEL III) (Hlatshwayo et al, 2013). Therefore, it is essential for banks to entice depositors to invest and save in their institution.…”
Section: Introductionsupporting
confidence: 56%
“…Meanwhile, banks need to keep their liquidity high so that they can quickly convert their assets into cash when depositors want to withdraw their money. This is in line with the Basel Committee on Banking Supervision's (BASEL) Third Basel Accord on Enhancing the Regulation and Supervision of Financial Institutions (BASEL III) (Hlatshwayo et al, 2013). Therefore, it is essential for banks to entice depositors to invest and save in their institution.…”
Section: Introductionsupporting
confidence: 56%