How to reach all Basel requirements at the same time ?

We use confidential bank-level data from the BCBS’s quantitative impact studies between 2011 and 2014 to document how banks have been adjusting to Basel III solvency and liquidity requirements. We first develop a non-linear optimization model to assess how banks’ balance sheets should have adjusted between 2011 and 2014, absent any external factor other than the new regulations. We find that the increase in capital observed during this period was far larger than that predicted by our model, thus suggesting that banks may have faced pressures from financial markets.

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How to reach all Basel requirements at the same time ?
  • Publié le 07/06/2017
  • FR
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Mis à jour le : 19/03/2019 15:48