A quantitative liquidity model for banks

Author(s)

• Schmaltz, Christian
• Heidorn, Thomas

Bibliographic Information

A quantitative liquidity model for banks

Christian Schmaltz ; with a foreword by Thomas Heidorn

（Gabler research）

Gabler, 2009

1st ed

• : pbk

Note

Thesis (doctoral)--Frankfurt School of Finance and Management, 2009

Includes bibliographical references (p. 217-223)

Description and Table of Contents

Description

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.

Table of Contents

• liquidity concepts
• liquidity strategies of banks
• modelling framework
• cash flow model
• liquidity transfer pricing
• liquidity optimization

by "Nielsen BookData"

Details

• NCID: BB05030032
• ISBN:
  • 9783834918222
• Country Code: gw
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Wiesbaden
• Pages/Volumes: xxiii, 223 p.
• Size: 21 cm
• Classification:
  • LCC : HG1656.A3
  • DC22 : 332.1068
• Subject Headings:
  • LCSH : Bank liquidity
  • LCSH : Bank management
  • LCSH : Risk management
• Parent Bibliography ID:
  • BB00136896