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来源类型Working Paper
规范类型报告
DOI10.3386/w28124
来源IDWorking 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
URLhttps://www.nber.org/papers/w28124
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/585798
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Laurence M. Ball. Liquidity Risk at Large U.S. Banks. 2020.
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