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schmaltz christian - a quantitative liquidity model for banks

A Quantitative Liquidity Model for Banks




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Dettagli

Genere:Libro
Lingua: Inglese
Editore:

Gabler Verlag

Pubblicazione: 10/2009
Edizione: 2010





Trama

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.




Sommario

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




Autore

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.







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Altre Informazioni

ISBN:

9783834918222

Condizione: Nuovo
Dimensioni: 210 x 148 mm Ø 369 gr
Formato: Brossura
Pagine Arabe: 223
Pagine Romane: xxiii






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