| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w28124
|
| 来源ID | Working Paper 28124
|
| Liquidity Risk at Large U.S. Banks |
| Laurence M. Ball
|
| 发表日期 | 2020-11-23
|
| 出版年 | 2020
|
| 语种 | 英语
|
| 摘要 | This paper studies liquidity risk at the six largest U.S. banks. The starting point is the stress tests performed under the Liquidity Coverage Ratio (LCR) regulation, which compare a bank’s liquid assets to its loss of cash in a stress scenario that regulators say is based on the 2008 financial crisis. These tests find that all of the large banks could endure a liquidity crisis for 30 days without running out of cash. This paper argues, however, that some of the assumptions in the LCR stress scenario are not pessimistic enough to capture what could happen in a crisis like 2008. The paper then proposes changes in the dubious assumptions and performs revised stress tests. For 2019 Q4, the revised tests suggest it is unlikely that any of the six banks would survive a liquidity crisis for 30 days. This negative finding is most clear-cut for Goldman Sachs and Morgan Stanley. |
| 主题 | Financial Economics
; Financial Institutions
|
| URL | https://www.nber.org/papers/w28124
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585798
|
推荐引用方式
GB/T 7714 |
Laurence M. Ball. Liquidity Risk at Large U.S. Banks. 2020.
|
|
文件名：
|
w28124.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
