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Bücher Englische Bücher Wissen & Bildung Sozialwissenschaft, Recht, Wirtschaft Wirtschaft Volkswirtschaft A Quantitative Liquidity Model for Banks
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A Quantitative Liquidity Model for Banks
Christian Schmaltz (Broschiert, Englisch)
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Beschreibung
Liquidity is a core resource and its management is a core activity of banks. Nevertheless, liquidity management has not received much attention during the last decades, as liquidity has not been perceived as scarce. This perception has clearly changed during the ?nancial crisis 2007/2009. Facing dried interbank markets, many banks were desperately looking for liquidity. Despite its crucial role,… the modeling techniques for bank liquidity are so far rather simple, which sharply contrasts the sophisticated techniques used for other risks as credit or market. Furthermore, German regulators now allow banks to use internal liquidity models for regulatory reporting. This leads to the need to develop a liquidity model for banks that uses advanced stochastic techniques, incorporates all liquidity key variables, discusses internal liquidity allocation and optimization. The work of Christian Schmaltz closes this gap in the literature. There are three major contributions: 1. Key liquidity variables are derived. 2. An innovative way to internally allocate liquidity is developed. 3. Transfer prices of liquidity are calculated. The key variables are derived from the liquidity condition of banks and the channels to generate additional cash ?ows. Customer deposits and credit, funding spread and fu- ing capacity, haircuts and short term interest rates are identi?ed as key liquidity variables. Liquidity risk is the consequence of the non-deterministic nature of these variables, which may take large adverse values (liquidity crisis). Having identi?ed the key variables, a l- uidity model is set up by assuming a particular stochastic process for each variable. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
27.10.2009
Sprache
Englisch
EAN
9783834918222
Herausgeber
Betriebswirtschaftlicher Verlag Gabler
Sonderedition
Nein
Autor
Christian Schmaltz
Seitenanzahl
223
Auflage
2010
Einbandart
Broschiert
Autorenporträt
Dr. Christian Schmaltz completed his doctoral thesis under the supervision of Prof. Dr. Thomas Heidorn at the Frankfurt School of Finance and Management. He works as a consultant for risk management.
Schlagwörter
Controlling, Funds, Liquidität, Risiskomanagement, cash flow, jump-diffusion, reporting
Thema-Inhalt
KFF - Finanzenwesen und Finanzindustrie
Höhe
210 mm
Breite
14.8 cm
Hersteller: Gabler Verlag, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com, Springer Nature Customer Service Center GmbH
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