Abstract

The practical aspects of liquidity risk measurement and monitoring are demonstrated according to the Basel III New International Framework of the Basel Committee. The computation models of the Liquidity Coverage Ratio – LCR and the Net Stable Funding Ratio – NSFR are tested on the grounds of real examples. The algorithm of calculating LCR is presented in details. All its variations are calculated with simplified examples of repo and reverse repo transactions. The new global standards for bank liquidity shall be introduced and tested first in the EU, Japan and the USA.