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Incidences des normes de liquidité sur les modèles bancaires

Abstract : The severity of the crisis that appeared in 2007 led supervisors to modify the international banking regulatory framework by integrating liquidity risk. This thesis analyzes how liquidity standards were built, essentially LCR, and in which circumstances they have influenced the activity of banks. Based on data from four local retail banks, the purpose of this work is to present the effects of the LCR ratio for a specific banking model by distinguishing the analysis by product and by market, then by evaluating strategy for optimizing this standard. Our work shows that the activity of banks is closely linked to the LCR ratio. More specifically, the presentation of the consubstantial links between the different banking products (loan, deposit and interbank loan) and the LCR sheds light on the practices, markets, structures and operations favored by this standard. There is no doubt that there is a cost to the banks in establishing a rule. We show that the cost of the LCR comes from the holding of HQLA and the extension of the debt maturity. This cost has a substantial impact on the results of banks and varies according to the structure of the establishment and the type of clientele. In order to reduce this cost, our results show that banks could reconsider the choice of securities portfolio. Using a methodology integrating the constraints of LCR, we conclude that banks face four optimal portfolios, the choice of which essentially depends on the rate differences observed between the securities. The results underline that the LCR is a sensitive ratio of flow to the interest rate whose strategies can vary consequently.
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Submitted on : Tuesday, June 28, 2022 - 11:25:12 AM
Last modification on : Wednesday, June 29, 2022 - 3:40:50 AM


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  • HAL Id : tel-03707067, version 1



Alexis Chollet. Incidences des normes de liquidité sur les modèles bancaires. Economies et finances. Université d'Orléans, 2021. Français. ⟨NNT : 2021ORLE3153⟩. ⟨tel-03707067⟩



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