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© 2009

A Quantitative Liquidity Model for Banks

  • Authors
Book

Table of contents

  1. Front Matter
    Pages i-xxiii
  2. Christian Schmaltz
    Pages 1-14
  3. Christian Schmaltz
    Pages 15-23
  4. Christian Schmaltz
    Pages 25-44
  5. Christian Schmaltz
    Pages 45-74
  6. Christian Schmaltz
    Pages 75-131
  7. Christian Schmaltz
    Pages 133-185
  8. Christian Schmaltz
    Pages 187-192
  9. Back Matter
    Pages 193-223

About this book

Introduction

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.

Keywords

Controlling Funds Liquidität Risiskomanagement cash flow jump-diffusion reporting

About the authors

Dr. Christian Schmaltz completed his doctoral thesis under the supervision of Prof. Dr. Thomas Heidorn at the Frankfurt School of Finance and Management. He works as a consultant for risk management.

Bibliographic information

  • Book Title A Quantitative Liquidity Model for Banks
  • Authors Christian Schmaltz
  • DOI https://doi.org/10.1007/978-3-8349-8554-5
  • Copyright Information Gabler Verlag | GWV Fachverlage GmbH, Wiesbaden 2009
  • Publisher Name Gabler
  • eBook Packages Business and Economics Economics and Finance (R0)
  • Softcover ISBN 978-3-8349-1822-2
  • eBook ISBN 978-3-8349-8554-5
  • Edition Number 1
  • Number of Pages XXIII, 223
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Finance, general
  • Buy this book on publisher's site
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