Les risques de liquidité bancaire: définitions, interactions et réglementation

Youssef Azzouzi Idrissi and Philippe Madiès

Revue d'économie financière, 2012, vol. N° 107, issue 3, 315-332

Abstract: This article shows that the polymorphic nature of liquidity and consequently liquidity risk by analyzing three types of liquidity and their associated risks, namely the Central Bank liquidity, the Market liquidity and the Funding liquidity. It emphasizes the interactions between Market liquidity risk and Funding liquidity risk and shows how these two types of risk reinforce each other. This analytical framework enables us to evaluate the Basel III proposals for the control of bank illiquidity risk by focusing on two new liquidity ratios, the ?short term? liquidity ratio or LCR and the ?long term? liquidity ratio or NSFR. We show the virtues and also the limitations of these proposals and suggest some avenues neglected by the regulator. Classification JEL: G20, G21, G28.

JEL-codes: G20 G21 G28 (search for similar items in EconPapers)
Date: 2012
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