A Quantitative Liquidity Model for Banks

  • Authors
  • Christian Schmaltz

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

Bibliographic information

  • 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
  • Print ISBN 978-3-8349-1822-2
  • Online ISBN 978-3-8349-8554-5
  • About this book
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