A Quantitative Liquidity Model for Banks

Specificaties
Paperback, 223 blz. | Engels
Gabler Verlag | 2010e druk, 2009
ISBN13: 9783834918222
Rubricering
Gabler Verlag 2010e druk, 2009 9783834918222
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Samenvatting

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.

Specificaties

ISBN13:9783834918222
Taal:Engels
Bindwijze:paperback
Aantal pagina's:223
Uitgever:Gabler Verlag
Druk:2010

Inhoudsopgave

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

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        A Quantitative Liquidity Model for Banks