April - 2020
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Béla Öcsi

is deputy CEO of International Training Center for Bankers Ltd, a risk management-specialized training and consultancy firm, and visiting lecturer at Corvinus University Budapest. In the past ten years he has been dealing with practical aspects of advanced credit risk modelling, default, loss and credit portfolio models, as well as operational and liquidity risk-related projects. He has recently been involved in a research project aimed at modelling and quantifying effects of regulatory Basel 3 liquidity ratios on bank portfolios. He holds an MSc in Economics from Corvinus University of Budapest.

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Impact of new regulatory liquidity measures on bank balance sheets (with Virág Somogyi and Péter Ványik)

Basel III regulation introduced Liquidity Coverage Ratio, which became effective in EU member states this year. The final regulation is very detailed and some of its options can have significant effects on Central European bank’s balance sheets. The authors try to show and assess these effects first through a brief discussion of LCR and its most relevant parts, with special emphasis on those items in high quality liquid assets and certain stable funding items where interpretation of regulation can have a significant effect on bank behaviour. These effects are quantified for some Central European banks. Using these results, through a simplified bank balance sheet model, the distribution of LCR and is components is explicitly estimated and conclusions for policy and micro-level adaptation are drawn.

Last modified: 2018.11.30.