The paper assesses, on the basis of available data and simplified hypothesis, the value of the Net Stable Funding Ratio on a sample of top-tier international banks operating in five area of specialization (Bank Holding & Holding Companies, Commercial Banks, Cooperative Banks, Saving Banks and Real Estate & Mortgage Banks) both in the pre-crisis period (2005-2007), and in the crisis and “post” crisis period (2008-2009), in order to identify which sample banks comply with new structural liquidity risk measure on the dual time horizon considered. The results highlight that the banks with structural liquidity furthest away from minimum requirements are those that would probably be included in the systemic risk list drawn up by the Group of Governors and Head of Supervision, belonging to the category of Bank Holding & Holding Companies or Commercial Banks. Conversely, the sample banks with liquidity structures in line with the new liquidity requirement NSFR are those belonging to the specializations Cooperative Banks, Saving Banks, or Real Estate & Mortgage Banks. These banks operate on a smaller geographical scale and so have lower total assets.

Bank liquidity and performance in Basel 3

BOTTIGLIA, Roberto
2011

Abstract

The paper assesses, on the basis of available data and simplified hypothesis, the value of the Net Stable Funding Ratio on a sample of top-tier international banks operating in five area of specialization (Bank Holding & Holding Companies, Commercial Banks, Cooperative Banks, Saving Banks and Real Estate & Mortgage Banks) both in the pre-crisis period (2005-2007), and in the crisis and “post” crisis period (2008-2009), in order to identify which sample banks comply with new structural liquidity risk measure on the dual time horizon considered. The results highlight that the banks with structural liquidity furthest away from minimum requirements are those that would probably be included in the systemic risk list drawn up by the Group of Governors and Head of Supervision, belonging to the category of Bank Holding & Holding Companies or Commercial Banks. Conversely, the sample banks with liquidity structures in line with the new liquidity requirement NSFR are those belonging to the specializations Cooperative Banks, Saving Banks, or Real Estate & Mortgage Banks. These banks operate on a smaller geographical scale and so have lower total assets.
Net Stable Funding Ratio; Basel 3; Bank performance
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11562/624366
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