Demographic Change, Bank Strategy and Financial Stability人口变化银行战略与金融稳定.pptVIP

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2017-02-10 发布于上海
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Demographic Change, Bank Strategy and Financial Stability人口变化银行战略与金融稳定.ppt

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Assessment Assessment (I) International harmonisation of standards reporting (EU) Binding quantitative liquidity standards Internalise negative externalities But LCR/NSFR not binding for most banks Maintain confidence under stress Risk sensitive across balance sheet structures Across banks/time ? improvement wrt to simple stock approaches But not risk sensitive with respect to market/banking environment More refined stock approach with static run-off rates Definition of components product specific Liquidity risk characteristics/product innovation? Assessment (II) Stress testing stocks problematic Insufficient picture of li-situation Preferrable ? gross cash-flows counterbalancing capacity Approach to liquid assets inconsistent with stress test approach Unintended consequences Feedback on market liquidity through frozen portfolios/fire sales? Increasing reliance on CRAs ? cliff-effects ? feedback on markets Scope of application * Assessment (III) Consistency between CRD IV and CEBS Guidelines? Distinction pillar I pillar II Potential impact Ratios watered down substantially after QIS – still binding? Competition for deposits intensivies – deposit growth/long-term debt issuance constrain loan growth Challenges for emerging, fast growing economies Interbank market – liquidity insurance, structural li-deficit monetary policy implementation Impact on monetary policy implementation Impact on monetary policy (I) Arbitrage via CB Unsecured interbank market Impact of crisis Main target rate Structural liquidity deficit LCR * Impact on monetary policy (II) * Impact on monetary policy (III) Challenges for monetary policy * Conclusions * Conclusions Liquidity Risk Management Workshop, RiskMinds 2010 * Background material BCBS (2008) Principles for Sound Liquidity Risk Management and Supervision, Basel BCBS (2009) International framework for liquidity risk measurement, standards and monitoring, Basel CEBS (2008) CEBS’S Technical Advise on Liquidity Risk Management (2nd pa