Liquidity Model



The step from the generic framework to a concrete liquidity model is taken by assuming specific processes for the liquidity variables. In chapter 3 we saw that a complete liquidity model needs the following sub-models:
  • Cash Flow Model

  • Funding Model

  • Liquidation Model

  • Short-rate Model


Liquidity Model Credit Spread Liquidation Model Liquidation Channel Liquidity Shock 
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© Gabler | GWV Fachverlage GmbH 2009

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