Description |
1 online resource (xxiii, 223 pages) : illustrations |
Series |
Gabler Research |
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Gabler research.
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Contents |
Foreword; Acknowledgements; Contents; List of Figures; List of Tables; Symbols; Chapter 1 Introduction; 1.1 Motivation; 1.2 Problem Description; 1.3 Objective and Proceeding; Chapter 2 Liquidity Concepts; 2.1 Asset Liquidity; 2.2 Institutional Liquidity; 2.3 National Liquidity; 2.4 Interdependencies between Liquidity Concepts; 2.5 Summary; Chapter 3 Liquidity Framework; 3.1 Modelling Fundamentals; 3.2 Liquidity Strategies of Banks; 3.3 Framework; 3.4 Comparison with Literature; 3.5 Summary; Chapter 4 Liquidity Model; 4.1 Time Scale; 4.2 Cash Flow Model; 4.3 Funding Model |
Summary |
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 |
Notes |
Diss.: Frankfurt (Main), Frankfurt School of Finance & Management, 2009 |
Bibliography |
Includes bibliographical references (pages 217-223) |
Notes |
Print version record |
Subject |
Bank liquidity.
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Bank management.
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Risk management.
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risk management.
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Economie de l'entreprise.
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Science économique.
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Affaires.
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Bank liquidity
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Bank management
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Risk management
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Genre/Form |
dissertations.
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Academic theses
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Academic theses.
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Thèses et écrits académiques.
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Form |
Electronic book
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ISBN |
9783834985545 |
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3834985546 |
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9783834918222 |
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3834918229 |
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