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A Quantitative Liquidity Model for Banks
53,49 €*
ISBN-13:
9783834985545
Veröffentl:
2010
Seiten:
223
Autor:
Christian Schmaltz
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
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.
Liquidity Concepts.- Liquidity Framework.- Liquidity Model.- Liquidity Management.- Liquidity Optimization.- Conclusion.