Interbank Networks and Liquidity Risk

被引：0
|
作者：
Dolfin, Marina [1 ,2 ]
Leonida, Leone [1 ,3 ]
Muzzupappa, Eleonora [1 ,3 ]
机构：
[1] Kings Coll London, Kings Business Sch, London, England
[2] Univ Messina, Dept Engn, Messina, Italy
[3] Univ Messina, DES, Messina, Italy
来源：
MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF 2022 | 2022年
关键词：
Liquidity; Interbank network; Network efficiency;
D O I：
10.1007/978-3-030-99638-3_35
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The implementation of Basel III introduces new capital requirements for liquidity risk that build on the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). We adopt a non-homogeneous Markov model framework to study liquidity dynamics on a simulated interbank network and test whether the implementation of the new regulation allows for efficient networks. The model simulates the effect of two different policies on the interbank network efficiency.
引用
收藏
页码：216 / 221
页数：6
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