Banks’ debt maturity needs extension – but not too much, paper argues
Debt maturity extensions planned under Basel III may be "excessive", researchers say
The extension in the maturity of bank securities envisaged under the Basel III net stable funding ratio (NSFR) could be excessive, a working paper published recently by the Bank of Italy argues.
In How excessive is banks' maturity transformation?, Anatoli Segura Velez and Javier Suarez construct a stylised model of securities investment, in which banks sell non-tradable instruments to investors. They then model the impact of systemic financial crises on bank financing, and calibrate their model
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