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A Quantitative Liquidity Model for Banks

Authors: Schmaltz, Christian

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  • ISBN 978-3-8349-8554-5
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About this book

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.

About the authors

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.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $84.99
price for USA in USD
  • ISBN 978-3-8349-8554-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.99
price for USA in USD
  • ISBN 978-3-8349-1822-2
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
A Quantitative Liquidity Model for Banks
Authors
Copyright
2009
Publisher
Gabler Verlag
Copyright Holder
Gabler Verlag | Springer Fachmedien Wiesbaden GmbH, Wiesbaden
eBook ISBN
978-3-8349-8554-5
DOI
10.1007/978-3-8349-8554-5
Softcover ISBN
978-3-8349-1822-2
Edition Number
1
Number of Pages
XXIII, 223
Topics