Basilea II. Revisión de principios y propuesta de indicadores de liquidez. Aplicaciones al sistema financiero local

Fabrizio Clemata and Mariana Bartet

No 2010017, Documentos de trabajo from Banco Central del Uruguay

Abstract: The recent financial market turmoil showed how certain types of assets can lose the liquidity that they normally have and how quickly and severely some sources of funding can evaporate. In this framework, the Basel Committee approved two documents. One document refers to the update of the principles for appropriate liquidity risk management, and the other document presents two metrics to measure the liquidity risk: the former, “short-term”, focuses on a bank's ability to withstand a one month stress event and the later, “long term”, tries to measure the persistence of the sources of funding in relation to the requirements arising from the operation of the institution. This paper analyses the two documents from a local perspective and attempts a measurement of the two metric proposals to the local financial system.

Keywords: Basel II; liquidity risk; uruguayan financial system; Basilea II; riesgo de liquidez; sistema financiero uruguayo (search for similar items in EconPapers)
Pages: 37 pages
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:bku:doctra:2010017

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