Interbank Networks and Liquidity Risk

Marina Dolfin (), Leone Leonida and Eleonora Muzzupappa
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Marina Dolfin: King’s College London, King’s Business School
Leone Leonida: King’s College London, King’s Business School
Eleonora Muzzupappa: King’s College London, King’s Business School

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2022, pp 216-221 from Springer

Abstract: Abstract 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.

Keywords: Liquidity; Interbank network; Network efficiency (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-99638-3_35

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DOI: 10.1007/978-3-030-99638-3_35

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