*5.1.3. Conclusions about numerical results for LCRs*

We approximate the Basel III standard, LCR, that is a measure of asset liquidity for global EMERG banking data mentioned earlier This is a challenging task given the nature of the data available and the ever-changing nature of Basel III liquidity regulation. In the light of the determined results, our analysis gives us a new understanding of the problem of approximating liquidity risk measures. From Table 1, we observe that from Q209 to Q412 there was a steady increase in the LCR. This is probably due to banks holding more liquid assets and restricting cash outflows and risky activities.

In this paragraph, we highlight how our research on approximating Basel III and traditional liquidity risk measures has advanced the knowledge in this field of endeavor. For both Class I and II banks, our research approximates LCRs for a large diversity of banks for an extended *that amounts to determining the value J*∗, *given by*

$$J^\* = \inf\_{\mathcal{g} \in \mathcal{G}\_A} J(\mathcal{g})\_{\prime\prime}$$

availability of more suitable data of sufficient granularity as well as improved extrapolation

Optimizing Basel III Liquidity Coverage Ratios

http://dx.doi.org/10.5772/58395

89

We have already made several contributions in support of the endeavors outlined in the previous paragraph. For instance, our journal article [12] deals with issues related to liquidity risk and the financial crisis. Also, the role of information asymmetry in a subprime context

[1] Basel Committee on Banking Supervision (January 2013). Basel III: The liquidity coverage ratio and liquidity risk monitoring tools. Bank for International Settlements (BIS) Publications. Retrieved Monday, 25 March 2013

[2] Basel Committee on Banking Supervision (October 2011). Progress report on Basel III implementation. Bank for International Settlements (BIS), Basel, Switzerland. Retrieved

[3] Basel Committee on Banking Supervision (BCBS). (June 2011). Basel III: A global regulatory framework for more resilient banks and banking systems – A revised version June 2011. June 2011. Bank for International Settlements (BIS) Publications. Retrieved

[4] Basel Committee on Banking Supervision (December 2010). Basel III: International framework for liquidity risk measurement, standards and monitoring. Bank for International Settlements (BIS), Basel, Switzerland. Retrieved April 25, 2012, from

[5] Basel Committee on Banking Supervision (September 2008). Principles for sound liquidity risk management and supervision. Bank for International Settlements (BIS), Basel, Switzerland. Retrieved April 25, 2012, from

[6] Demyanyk Y, van Hemert O. Understanding the subprime mortgage crisis. *Review of*

[7] Elyasiani E, Mester LJ, Pagano MS, Large Capital Infusions, Investor Reactions, and the Return and Risk-Performance of Financial Institutions Over the Business Cycle (May 3,

and interpolation techniques.

**Author details**

**References**

is related to the main hypothesis of the book [14].

\*Address all corespodence to mulaump@unisa.ac.za

(http://www.bis.org/publ/bcbs238.htm).

http://www.bis.org/publ/bcbs188.htm.

http://www.bis.org/publ/bcbs144.htm.

*Financial Studies*, 2011; 24(6), 1848-1880.

J. Mukuddem-Petersen1, M.A. Petersen1 and MP. Mulaudzi\*2

Department of Decision Sciences, University of South Africa

April 25, 2012, from http://www.bis.org/publ/bcbs193.htm.

Monday, 25 March 2013 (http://www.bis.org/publ/bcbs189.htm).

Faculty of Commerce and Administration, North West University, South Africa

*and the optimal control law g*∗, *if it exists,*

$$\mathcal{g}^\* = \arg\min\_{\mathcal{g}\in\mathcal{G}\_A} J(\mathcal{g}) \in \mathcal{G}\_A.$$
