To set up stable funding liquidity indicators from Basel lll

• Main Authors: En-Hung Lin, 林恩弘
• Other Authors: Ying-Feng Gau
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/50859415158793368237

碩士 === 國立中央大學 === 財務金融學系碩士在職專班 === 100 === Commercial banking is a highly leveraged industry. The statutory capital adequacy ratio is set to 8%, that is, a bank is allowed to have 12.5 dollar invested or lent for every dollar it owns, which means the other 11.5 dollars would have to be funded by other means. The statistics show that the total deposits saved in domestic banks amount to 82% of their total liabilities. Meanwhile, 60% of their total assets are loans. Accordingly, those funds are highly correlated to the liquidity of banks whether they are from the depositors or from the borrowers. Liquidity risk affects the stability of banks from different aspects and in various ways, as already witnessed by the recent financial crisis. From Europe to North America, even those banks considered financially healthy were not exempt from it, and their depositors and borrowers were exposed without warning. This event triggered a series of international regulations on liquidity risk management and they are welcomed by banks and supervisory authorities across nations. Basel III, in particular, has set out a global standard for measuring and monitoring liquidity, emphasizing the importance of information disclosure as a principle of liquidity management. The purpose of which, ultimately, is to better protect the stakeholders. In the light of this development, the implementation of these regulatory requirements needs to take into consideration the comprehensive disclosure of relevant indicators, and, as a result, stakeholders are better informed regarding the liquidity of their banks. The main theme of this thesis is the international framework for liquidity risk management. The development of managing, measuring, and supervising liquidity risk will be discussed. It documents how the 2008-2009 financial crisis was fuelled by liquidity risk and the causes of increasing difficulty in its management. The effort is to establish a set of stable funding liquidity indicators, by which the stakeholders are fully and sufficiently informed about bank liquidity. Furthermore, the use of liquidity indicators can improve the operation structure of banks making them less vulnerable to liquidity risk.