022-27

2019-02-28 (木) 09:11:52 (57d) | Topic path: Top / 022-27

第22回研究会

流動性リスク管理による銀行ネットワーク安定化のシミュレョン分析

著者

曽根泰平, 和泉潔, 坂地泰紀, 松島裕康, 島田尚(東京大学)

概要

The financial authorities around the world have been trying to prevent the occurrence of the financial crisis and to reduce the impact by creating a common framework for finance. In response to the Lehman shock that occurred in 2008, many financial institutions were forced to fail due to lack of liquidity, and from the reflection that not only the capital adequacy ratio regulation but also the liquidity ratio regulation is necessary, Basel III regulation consisting of the capital adequacy ratio regulation and liquidity ratio regulation was formulated in 2010. However, some problems are pointed out in the liquidity ratio regulation established under the Basel III regulation. Liquidity ratio regulation formulated under the Basel III regulation is trying to encourage banks to prepare for the financial crisis accompanying liquidity shock by ensuring adequate liquidity but this will lower the bank's asset management yield and it is feared that it may be a factor that puts pressure on management and, on the contrary, makes the financial system unstable. Therefore, in this research, we evaluate the influence of the liquidity ratio regulation on the Basel III regulation on the stability of the financial system by simulation. There are Liquidity Coverage Ratio (LCR) regulation and Net Stable Funding Ratio (NSFR) regulation in the liquidity ratio regulation on the Basel III regulation. In this research, we will examine the merits and demerits of the impact of the LCR regulation and the NSFR regulation, which is the liquidity ratio regulation of Basel III regulation, on the financial system.

キーワード

Socio-economic system, Systemic risk, Agent-based simulation, Artificial market, Interbank network, Financial system

論文

fileSIG-FIN-022-27.pdf

添付ファイル: fileSIG-FIN-022-27.pdf 90件 [詳細]
トップ   編集 凍結 差分 バックアップ 添付 複製 名前変更 リロード   新規 一覧 単語検索 最終更新   ヘルプ   最終更新のRSS