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How liquid are banks: Some evidence from the United Kingdom (2017)
Journal Article
Yan, M., Hall, M. J. B., Turner, P., & Zhang, D. (2017). How liquid are banks: Some evidence from the United Kingdom. Journal of banking regulation, 18(2), 163-179. https://doi.org/10.1057/jbr.2016.3

This article uses quantitative balance sheet liquidity analysis, based upon modified versions of the BCBS and Moody’s models, to provide indicators which would alarm the UK banks’ short- and long-term liquidity positions, respectively. These informat... Read More

Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector (2014)
Journal Article
Yan, M., Hall, M. J., & Turner, P. (2014). Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector. International journal of finance & economics : IJFE, 19(3), 225-238. https://doi.org/10.1002/ijfe.1495

This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the exposure-based cash-flow-at-risk (CFaR) model, which not only measures a bank's liquidity risk tolerance but also helps to improve li... Read More

A cost-benefit analysis of Basel III: Some evidence from the UK (2012)
Journal Article
Yan, M., Hall, M. J. B., & Turner, P. (2012). A cost-benefit analysis of Basel III: Some evidence from the UK. International review of financial analysis, 25, (73-82). doi:10.1016/j.irfa.2012.06.009. ISSN 1057-5219

This paper provides a long-term cost-benefit analysis for the United Kingdom of the Basel III capital and liquidity requirements proposed by the Basel Committee on Banking Supervision (BCBS, 2010a). We provide evidence that the Basel III reforms will... Read More