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Пруденциальные требования по ликвидности и риск-ориентированный подход // Prudential liquidity requirements and a risk-based approach

Author

Listed:
  • Хакимжанов С.Т. // Khakimzhanov S.T.

    (National Bank of Kazakhstan)

  • Миллер А. // Miller A.

    (The Agency of Kazakhstan for Regulation and Development of Financial Market)

  • Джусангалиева К. // Jussangaliyeva K.

    (National Bank of Kazakhstan)

Abstract
В этой статье анализируется казахстанская практика внедрения пруденциальных нормативов ликвидности (LCR и NSFR), рекомендованных Базельским комитетом по банковскому надзору (БКБН). В статье проводится анализ соответствия казахстанских нормативов стандартам Базеля, оценивается эффект альтернативных интерпретаций, обсуждается информативность и эффективность нормативов для отражения рисков фондирования и улучшения рыночных практик управления ликвидностью, их взаимодействие с другими нормативами и обусловленность регуляторной и конкурентной средой. // This paper analyzes Kazakhstan’s practice of introducing prudential liquidity ratios (LCR and NSFR) recommended by the Basel Committee on Banking Supervision (BCBS). It reviews the compliance of Kazakhstan’s ratios with the Basel standards, evaluates the effect of alternative interpretations, discusses the meaningfulness and effectiveness of the standards to reflect funding risks and improve market practices of liquidity management, their interaction with other standards and conditionality of the regulatory and competitive environment.

Suggested Citation

  • Хакимжанов С.Т. // Khakimzhanov S.T. & Миллер А. // Miller A. & Джусангалиева К. // Jussangaliyeva K., 2022. "Пруденциальные требования по ликвидности и риск-ориентированный подход // Prudential liquidity requirements and a risk-based approach," Economic Review(National Bank of Kazakhstan), National Bank of Kazakhstan, issue 1, pages 4-27.
    • Handle: RePEc:aob:journl:y:2022:i:1:p:4-27
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    Keywords

    риски ликвидности; риски фондирования; Базель III; показатель краткосрочной ликвидности; показатель чистого стабильного финансирования; LCR; NSFR; liquidity and funding risks; Basel III; liquidity coverage ratio; net stable funding ratio;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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