Verlag:
Betriebswirtschaftlicher Verlag Gabler
Erschienen:
30.05.2010
Seitenanzahl:
223
ISBN:
3834985546
EAN:
9783834985545
Format:
eBook
Schutz:
Dig. Wass.

A Quantitative Liquidity Model for Banks

Christian Schmaltz


53,49 €
inkl. 7% MwSt.
eBook mit Dig. Wass.


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. <br><br>

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