A Quantitative Liquidity Model for Banks by Christian Schmaltz
Gabler Verlag; 2010 edition | October 27, 2009 | English | ISBN: 3834918229 | 223 pages | PDF | 3 MB
Gabler Verlag; 2010 edition | October 27, 2009 | English | ISBN: 3834918229 | 223 pages | PDF | 3 MB
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.