The assessment of the NSFR value. Evidence from the financial crisis

Laura Chiaramonte, Barbara Casu, Roberto Bottiglia

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

Although the Basel Committee outlines these two liquidity standards, the research focus on the NSFR only, since publicly available information does not allow to assess the value of LCR. In addition, a good management of structural liquidity would avoid negative effect in the short-term. In particular, the chapter 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.
Original languageEnglish
Title of host publicationModern Bank Behaviour
EditorsJ.M. Pastor, J.F. de Guevara
Pages83-94
Number of pages12
Publication statusPublished - 2012

Keywords

  • NSFR
  • financial crisis

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