THE NET STABLE FUNDING RATIO OF US BANK HOLDING COMPANIES: A RETROSPECTIVE ANALYSIS

PETROS ARVANITIS, KONSTANTINOS DRAKOS

Abstract:

We calculate the Net Stable Funding Ratio (NSFR) for US Bank Holding Companies between 2001-2013. We find, that for the vast majority of cases the NSFR was compatible with the Basel III threshold. In addition, we document a significant deterioration of about 10% of the NSFR during the post-financial crisis period. Moreover, the NSFR exhibits significant heterogeneity across size segments, with its mean level dropping at a decreasing rate.The Net Stable Funding Ratio (NSFR hereafter) is a structural micro-prudential metric of maturity transformation risk, introduced by the Basel Committee of Bank Supervision (BCBS hereafter) in its Basel III accord (BIS, 2010; Gobat et al., 2014).

Keywords:
Bank Holding Companies, Net Stable Funding Ratio, US

DOI: 10.20472/ES.2015.4.2.001

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APA citation:
PETROS ARVANITIS, KONSTANTINOS DRAKOS (2015). The Net Stable Funding Ratio of US Bank Holding Companies: A Retrospective Analysis . International Journal of Economic Sciences, Vol. IV(2), pp. 1-9. , DOI: 10.20472/ES.2015.4.2.001


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