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.
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Dolfin, M., Leonida, L., Muzzupappa, E. (2022). Interbank Networks and Liquidity Risk. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer, Cham. https://doi.org/10.1007/978-3-030-99638-3_35
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DOI: https://doi.org/10.1007/978-3-030-99638-3_35
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