Spelling suggestions: "subject:"liquidity regulation"" "subject:"iliquidity regulation""
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La consolidation des politiques prudentielles en Europe face à l'interdépendance des différents métiers de la banque / Strengthening prudential policies in Europe in the face of the interdependency between different banking businessesZhang, Peixin 09 October 2013 (has links)
L’interdépendance entre les différents métiers de la banque s’est considérablement renforcée au cours des deux dernières décennies. En effet, la globalisation financière a accru la porosité entre les différents métiers bancaires notamment lors de chocs qui bien qu’initialement circonscrits sur un segment de l’activité des banques contaminent maintenant rapidement la santé financière globale des banques. Cet état de fait est étayé par la crise des subprimes. L’échec de la réglementation bancaire révélé à travers la crise financière globale nous oblige à réexaminer le régime réglementaire en vigueur et à accorder une grande importance aux réformes réglementaires dans le système bancaire. Cette thèse a pour objectif d’identifier les carences de la réglementation bancaire et d’analyser les pistes de réforme réglementaire pour remédier à ces lacunes du régime réglementaire actuel. Ce travail de thèse fournit des évidences empiriques sur le fait que la mise en œuvre conjointe d’une stratégie de levier élevé et d’une stratégie de liquidité risquée a déstabilisé les banques au cours des années récentes. Les réglementations futures doivent donc s’orienter vers la complémentarité entre la réglementation de la capitalisation et la réglementation de la liquidité. En accord avec ces résultats empiriques, ce travail de thèse propose finalement un cadre théorique pour montrer que la prise en compte de la réglementation de la liquidité en tant que le complément de la réglementation de capitalisation est socialement optimale. / The interdependence between different banking businesses has significantly increased over the past two decades. In fact, financial globalization increased the porosity between banking businesses in the case of shocks that rapidly infects the global financial health of banks, although they were initially limited to one segment of banking activities. That was shown by the Subprime crisis. The failure of banking regulation, as the global financial crisis demonstrated, is forcing us to review the existing regulatory regime and to pay attention to regulatory reforms in the banking system. This thesis aims to identify the flaws in the banking regulation and to analyze possible reform avenues. In this study, we provide empirical evidence on the joint use of risky leverage strategy and risky liquidity strategy by banks over the past years. Consequently, the future regulatory reforms have to shift towards the complementarity between capitalization regulation and liquidity regulation. In line with our empirical results, we finally propose a theoretical framework in order to establish that implementing liquidity regulation, as complement to the actual capitalization regulation is socially optimal.
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An assessment of UK banking liquidity regulation and supervisionYan, Meilan January 2013 (has links)
This thesis assesses UK banking liquidity regulation and supervision and the Basel liquidity requirements, and models banks' liquidity risk. The study reveals that the FSA's risk-assessment framework before 2008 was too general without specifically considering banks' liquidity risk (as well as its failures on Northern Rock). The study also lists the limitations of the FSA's banking liquidity regimes before 2008. The thesis reviews whether the FSA's new liquidity regimes after 2008 would have coped with UK banks' liquidity risks if they have been applied properly. The fundamental changes in the FSA's liquidity supervision reflect three considerations. First, it introduces a systemic control requirement by measuring individual fifirm's liquidity risk with a market-wide stress or combination of idiosyncratic and market-wide stresses. Second, it emphasizes the monitoring of business model risks and the capability of senior managers. Third, it allows both internal and external managers to access more information by increasing the liquidity reporting frequencies. The thesis also comments on the Basel Liquidity Principles of 2008 and the two Liquidity Standards. The Principles of 2008 represents a substantial revision of the Principles of 2000 and reflect the lessons of the fifinancial market turmoil since 2007. The study argues that the implementation of the sound principles by banks and supervisors should be fexible, but also need to be consistent to make sure they understand banks' liquidity positions quite well. The study also explains the composition of the Basel liquidity ratios as well as the side effect of Basel liquidity standards; for example, it will reshape interbank deposit markets and bond markets as a result of the increase in demand for `liquid assets' and `stable funding'. This thesis uses quantitative balance sheet liquidity analysis, based upon modified versions of the BCBS (2010b) and Moody's (2001) models, to estimate eight UK banks' short and long-term liquidity positions from 2005 to 2010 respectively. The study shows that only Barclays Bank remained liquid on a short-term basis throughout the sample period (2005-2010); while the HSBC Bank also proved liquid on a short-term basis, although not in 2008 and 2010. On a long-term basis, RBS has remained liquid since 2008 after receiving government support; while Santander UK also proved liquid, except in 2009. The other banks,especially Natwest, are shown to have faced challenging conditions, on both a short-term and long-term basis, over the sample period. This thesis also uses the Exposure-Based Cash-Flow-at-Risk (CFaR) model to forecast UK banks' liquidity risk. Based on annual data over the period 1997 to 2010, the study predicts that by the end of 2011, the (102) UK banks' average CFaR at the 95% confidence level will be -£5.76 billion, Barclays Bank's (Barclays') CFaR will be -£0.34 billion, the Royal Bank of Scotland's (RBS's) CFaR will be -£40.29 billion, HSBC Bank's (HSBC's) CFaR will be £0.67 billion, Lloyds TSB Bank's (Lloyds TSB's) CFaR will be -£4.90 billion, National Westminister Bank's (Natwest's) CFaR will be -£10.38 billion, and Nationwide Building Society's (Nationwide's) CFaR will be -£0.72 billion. Moreover, it is clear that Lloyds TSB and Natwest are associated with the largest risk, according to the biggest percentage difference between downside cash flow and expected cash flow (3600% and 816% respectively). Since I summarize a bank's liquidity risk exposure in a single number (CFaR), which is the maximum shortfall given the targeted probability level, it can be directly compared to the bank's risk tolerance and used to guide corporate risk management decisions. Finally, this thesis estimates the long-term United Kingdom economic impact of the Basel III capital and liquidity requirements. Using quarterly data over the period 1997:q1 to 2010:q2, the study employs a non-linear-in-factor probit model to show increases in bank capital and liquidity would reduce the probability of a bank crisis significantly. The study estimates the long-run cost of the Basel III requirements with a Vector Error Correction Model (VECM), which shows holding higher capital and liquidity would reduce output by a small amount but increase bank profitability in the long run. The maximum temporary net benefit and permanent net benefit is shown to be 1.284% and 35.484% of pre-crisis GDP respectively when the tangible common equity ratio stays at 10%. Assuming all UK banks also meet the Basel III long-term liquidity requirements, the temporary net benefit and permanent net benefit will be 0.347% and 14.318% of pre-crisis GDP respectively. Therefore, the results suggest that, in terms of the impact on output, there is considerable room to further tighten capital and liquidity requirements, while still providing positive effects for the United Kingdom economy.
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