Delfiner, Miguel and Lippi, Claudia and Pailhé, Cristina (2006): La administración del riesgo de liquidez en las entidades financieras: mejores prácticas internacionales y experiencias (In Spanish). Published in: Central Bank Working Papers (October 2006)
Download (333kB) | Preview
This paper studies the best practices related to the management of liquidity risk in financial institutions from the viewpoint of the standards, as well as its treatment in a series of countries. Firstly it reviews the best practices suggested by the Basel Committee on Banking Supervision, the developments in European countries observed by the European Central Bank, and sound practices for liquidity risk management proposed in the supervision manuals of the US regulatory agencies. Secondly, it examines particular experiences of countries that apply policies for the management of liquidity risk, through their supervision manuals or their regulation. The paper also includes the experiences of some Latin-American countries that rely on a specific regulation of liquidity, together with the Argentine case. Although the importance of liquidity risk is well known, given the idiosyncratic characteristics shown in different banks, the organisms in charge of establishing the best practices regarding the subject prefer to give general principles that can be used as a guide in the management of the risk rather than to specify a quantitative regulation. Most of the analysed countries have adopted these recommendations, in some cases giving some freedom for the banks to apply internal methods, in others providing guidance for banks that don’t have advanced developments in the subject yet. In other countries, instead, quantitative regulations have been implemented.
|Item Type:||MPRA Paper|
|Institution:||Central BAnk of Argentina|
|Original Title:||La administración del riesgo de liquidez en las entidades financieras: mejores prácticas internacionales y experiencias (In Spanish)|
|English Title:||Liquidity risk management in banks: international best practices and cases (In Spanish)|
|Keywords:||Liquidity Risk; Liquidity Mismatches; Regulation|
|Subjects:||G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages|
|Depositing User:||Cristina Pailhé|
|Date Deposited:||15. Dec 2006|
|Last Modified:||12. Feb 2013 11:57|
- BCBS (1992) Basel Committee on Banking Supervision: “A framework for measuring and managing liquidity”
- BCBS (2000) Basel Committee on Banking Supervision: “Sound Practices for Managing Liquidity in Banking Organisations”, Publicación N° 69
- BCBS (2006-a) Basel Committee on Banking Supervision - The Joint Forum: “The management of liquidity risk in financial groups”, May.
- BCBS (2006-b) Basel Committee on Banking Supervision: “Core Principles for Effective Banking Supervision”, October.
- BCBS (2006-c) Basel Committee on Banking Supervision: “Core Principles Methodology”, October.
- BCRA: Texto Ordenado de “Posición de Liquidez”
- BCRA: Textos Ordenados de “Efectivo mínimo”, “Seguro de Garantía de los Depósitos”, “Asistencia Financiera por Iliquidez Transitoria”
- Board of Governors of the Federal Reserve, Office of the Comptroller of the Currency, Federal Deposit Insurance Corporation, Office of Thrift Supervision, National Credit Union Administration: Interagency advisory on “The use of the federal reserve’s primary credit program in effective liquidity management”
- Consejo Monetario Nacional de Brasil (2000): “Resolucao 2.804”, 21 de diciembre.
- ECB (2002) Banco Central Europeo: “Developments in banks’ liquidity profile and management”, Mayo.
- FDIC: “Risk Manangement manual of Examination Policies” – Section 6.1 Liquidity and Funds Management
- Federal Reserve (FED): “Commercial bank examination manual” – Section 4020.1 & 4020.3 Asset/Liability Management
- Freixas X. y J.C. Rochet (1999): “Microeconomics of banks”, The MIT Press.
- India (1999): “Asset–Liability Management System”, BP.BC.8/21.04.098/99
- IPRU: Interim Prudential Sourcebook – Section Banks Vol.2 – Chapter LM. Financial Services Authority, Reino Unido.
- Israel (2003): “Proper conduct of banking Business. Liquidity Risk management”; p.342
- Ley de Entidades Financieras, Argentina
- UBPR (2005) Federal Financial Institutions Examination Council (FFIEC): “A User’s Guide for the Uniform Bank Performance Report”, March 2005