A Quantitative Liquidity Model for Banks
Download or Read eBook A Quantitative Liquidity Model for Banks PDF written by Christian Schmaltz and published by Springer Science & Business Media. This book was released on 2010-05-30 with total page 238 pages. Available in PDF, EPUB and Kindle.
| Author | : Christian Schmaltz |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 238 |
| Release | : 2010-05-30 |
| ISBN-10 | : 9783834985545 |
| ISBN-13 | : 3834985546 |
| Rating | : 4/5 (45 Downloads) |
Book Synopsis A Quantitative Liquidity Model for Banks by : Christian Schmaltz
Book excerpt: 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.
