Practical aspects in measuring and monitoring the liquidity risk pursuant to the Basel III international framework Cover Image

Практически аспекти при измерването и мониторинга на ликвидния риск съгласно международната рамка на Базел III
Practical aspects in measuring and monitoring the liquidity risk pursuant to the Basel III international framework

Author(s): Georgi Petrov Georgiev
Subject(s): Economy
Published by: Институт за икономически изследвания при Българска академия на науките
Keywords: JEL: F330; G010; G210; G320

Summary/Abstract: The practical aspects of liquidity risk measurement and monitoring are demonstrated according to the Basel III New International Framework of the Basel Committee. The computation models of the Liquidity Coverage Ratio – LCR and the Net Stable Funding Ratio – NSFR are tested on the grounds of real examples. The algorithm of calculating LCR is presented in details. All its variations are calculated with simplified examples of repo and reverse repo transactions. The new global standards for bank liquidity shall be introduced and tested first in the EU, Japan and the USA.

  • Issue Year: 2012
  • Issue No: 5
  • Page Range: 144-164
  • Page Count: 21
  • Language: Bulgarian