A quantitative liquidity model for banks
著者
書誌事項
A quantitative liquidity model for banks
（Gabler research）
Gabler, 2009
1st ed
- : pbk
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注記
Thesis (doctoral)--Frankfurt School of Finance and Management, 2009
Includes bibliographical references (p. 217-223)
内容説明・目次
内容説明
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 model is used to derive liquidity funds transfer prices and to optimally manage liquidity.
目次
- liquidity concepts
- liquidity strategies of banks
- modelling framework
- cash flow model
- liquidity transfer pricing
- liquidity optimization
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