ENGLISH

A Quantitative Liquidity Model for Banks

By Christian Schmaltz (auth.)

Book information

Publisher
Gabler Verlag
Year
2009
ISBN
978-3-8349-1822-2, 978-3-8349-8554-5
DOI
10.1007/978-3-8349-8554-5
Language
english
Format
PDF
Filesize
3 MB (2772676 bytes)
Edition
1
Pages
223\237
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Finance /Banking

Description

Internal liquidity models for banks have gained considerable importance since German regulators have decided to accept them for regulatory reporting. Christian Schmaltz identifies product cash flows, funding spread, funding capacity, haircuts, and short-term interest rates as key liquidity variables. Then, he assumes specific stochastic processes for the key variables leading to a particular liquidity model. The modelling focus lies on the product cash flow that is described by a jump-diffusion process. Finally, the author applies the model to the allocation, internal pricing, and optimization of liquidity.

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