Limit search to available items
Book Cover
E-book
Author Schmaltz, Christian

Title A quantitative liquidity model for banks / Christian Schmaltz ; with a foreword by Thomas Heidorn
Edition 1st ed
Published Wiesbaden : Gabler, 2009

Copies

Description 1 online resource (xxiii, 223 pages) : illustrations
Series Gabler Research
Gabler research.
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.
Bank management.
Risk management.
risk management.
Economie de l'entreprise.
Science économique.
Affaires.
Bank liquidity
Bank management
Risk management
Genre/Form dissertations.
Academic theses
Academic theses.
Thèses et écrits académiques.
Form Electronic book
ISBN 9783834985545
3834985546
9783834918222
3834918229