A quantitative liquidity model for banks:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Wiesbaden
Gabler
2009
|
| Edition: | 1. ed. |
| Series: | Gabler research
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIII, 223 S. graph. Darst. |
| ISBN: | 9783834918222 |
Staff View
MARC
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| 100 | 1 | |a Schmaltz, Christian |e Verfasser |0 (DE-588)134168526 |4 aut | |
| 245 | 1 | 0 | |a A quantitative liquidity model for banks |c Christian Schmaltz |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a Wiesbaden |b Gabler |c 2009 | |
| 300 | |a XXIII, 223 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Gabler research | |
| 502 | |a Zugl.: Frankfurt, School of Finance and Management, Diss., 2009 | ||
| 650 | 7 | |a Bank |2 stw | |
| 650 | 4 | |a Bankenliquidität | |
| 650 | 7 | |a Betriebliche Finanzwirtschaft |2 stw | |
| 650 | 7 | |a Betriebliche Liquidität |2 stw | |
| 650 | 7 | |a Risikomanagement |2 stw | |
| 650 | 7 | |a Theorie |2 stw | |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bankenliquidität |0 (DE-588)4213508-4 |2 gnd |9 rswk-swf |
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Record in the Search Index
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|---|---|
| adam_text | Contents
1
Introduction
........................................................ 1
1.1 Motivation....................................................... 1
1.2 Problem
Description ..............................................
6
1.2.1 Bank
Liquidity
Models....................................... 6
1.2.2 Quantitative
Liquidity
Models................................. 7
1.2.2.1
Cash
Management Models............................. 7
1.2.2.2
Debt
Management Models ............................. 11
1.2.3
Complete Liquidity
Models................................... 12
1.3
Objective and Proceeding
.......................................... 13
2
Liquidity Concepts
................................................... 15
2.1
Asset Liquidity
................................................... 15
2.2
Institutional Liquidity
............................................. 19
2.3
National Liquidity
................................................ 20
2.4
Interdependencies between Liquidity Concepts
........................ 22
2.5
Summary
........................................................ 23
3
Liquidity Framework
................................................ 25
3.1
Modelling Fundamentals
........................................... 25
3.1.1
Stock versus Flow Perspective
................................. 25
3.1.2
Cash Flow Maturity Ladder
................................... 26
3.1.3
Interest Rates and Liquidity Management
....................... 27
3.1.4
Liquidity Options
........................................... 28
3.1.5
Repo
...................................................... 32
3.2
Liquidity Strategies of Banks
....................................... 34
3.2.1
Maturity Mismatch Strategy
................................... 35
3.2.2
Liquidity Option Strategy
..................................... 37
3.2.3
Summary
.................................................. 41
3.3
Framework
...................................................... 42
3.4
Comparison with Literature
........................................ 43
3.5
Summary
........................................................ 44
xii Contents
4
Liquidity Model
..................................................... 45
4.)
Time Scale
...................................................... 45
4.2
Cash Flow Model
................................................. 46
4.2.1
Requirements
............................................... 46
4.2.2
Product Cash Flows
.......................................... 47
4.2.2.1
Cash Flow Assumption
................................ 47
4.2.2.2
Generic Product
...................................... 53
4.2.2.3
Model Horizon
....................................... 54
4.2.3
Aggregation
................................................ 55
4.3
Funding Model
................................................... 60
4.3.1
Requirements
............................................... 60
4.3.2
Funding Model
............................................. 61
4.3.3
Calibration
................................................. 64
4.4
Liquidation Model
................................................ 64
4.4.1
Requirements
............................................... 64
4.4.2
Liquidation Model
........................................... 65
4.5
Interest Rate Model
............................................... 71
4.6
Bank Liquidity Model
............................................. 72
4.7
Summary
........................................................ 73
5
Liquidity Management
............................................... 75
5.1
Cash Flow Transfer
............................................... 75
5.1.1
Basic Transfer Model
........................................ 75
5.1.2
Extended Transfer Model
..................................... 78
5.1.3
Model Horizon
.............................................. 89
5.2
Transfer Pricing
.................................................. 91
5.2.1
Transfer Price for Deterministic Cash Flows
..................... 94
5.2.2
Transfer Price for the Brownian Component
..................... 95
5.2.3
Transfer Price for the Jump Component
.........................108
5.2.3.1
Reconciliation with the Literature
.......................123
5.2.3.2
Pricing Examples
.....................................126
5.3
Summary
........................................................128
6
Liquidity Optimization
...............................................133
6.1
Setup
...........................................................133
6.2
Origination Department
............................................137
6.2.1
The Model
.................................................137
6.2.1.1
Setup
...............................................137
6.2.2
Optimization without Funding Risk
............................140
6.2.3
Optimization with Funding Capacity Risk
.......................141
6.2.3.1
Impact of Funding Stochastic
...........................144
6.2.3.2
Impact of Spread Definition
............................146
6.2.4
Comparison with the Literature
................................151
6.2.5
Conclusion
.................................................153
6.3
Money Market Department
.........................................153
Contents xiii
6.3.1 The Model.................................................153
6.3.1.1 Setup...............................................153
6.3.1.2
Choice of
Model
Horizon
..............................157
6.3.2 Optimality
Candidates
.......................................162
6.3.3 Reserve
Decisions
inti
.......................................164
6.3.4
Reserve Decisions in
îO
.......................................170
6.3.5
Numerical Example
..........................................177
6.3.6
Comparison with the Literature
................................181
6.3.7
Conclusion
.................................................182
6.4
Risk Controlling
..................................................183
6.5
Summary
........................................................183
7
Conclusion
..........................................................187
A Liquidity Model
.....................................................193
A.I Cash Flow Expectations
...........................................193
8
Liquidity Management
...............................................199
B.
1
Brownian Transfer Prices for Large and Homogeneous Portfolios
.........199
С
Liquidity Optimization
...............................................201
С
1
Optimization in Origination Department
..............................201
C.2 Optimization in Money Market Department
...........................205
C.2.
1
Approximation of Cash Flow SDE by Binomial Cash Flow Model
... 205
C.2.2 Determination of Optimality Candidates
........................208
C.2.2.1 Candidates for tO
.....................................213
References
..............................................................217
|
| any_adam_object | 1 |
| author | Schmaltz, Christian |
| author_GND | (DE-588)134168526 |
| author_facet | Schmaltz, Christian |
| author_role | aut |
| author_sort | Schmaltz, Christian |
| author_variant | c s cs |
| building | Verbundindex |
| bvnumber | BV035827751 |
| classification_rvk | QK 330 SK 980 |
| ctrlnum | (OCoLC)471934226 (DE-599)DNB996419934 |
| dewey-full | 332.10681 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.10681 |
| dewey-search | 332.10681 |
| dewey-sort | 3332.10681 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Thesis Book |
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| id | DE-604.BV035827751 |
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| indexdate | 2024-07-09T22:05:32Z |
| institution | BVB |
| isbn | 9783834918222 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018686356 |
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| physical | XXIII, 223 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Gabler |
| record_format | marc |
| series2 | Gabler research |
| spelling | Schmaltz, Christian Verfasser (DE-588)134168526 aut A quantitative liquidity model for banks Christian Schmaltz 1. ed. Wiesbaden Gabler 2009 XXIII, 223 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Gabler research Zugl.: Frankfurt, School of Finance and Management, Diss., 2009 Bank stw Bankenliquidität Betriebliche Finanzwirtschaft stw Betriebliche Liquidität stw Risikomanagement stw Theorie stw Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Bankenliquidität (DE-588)4213508-4 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bankenliquidität (DE-588)4213508-4 s Finanzmathematik (DE-588)4017195-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018686356&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schmaltz, Christian A quantitative liquidity model for banks Bank stw Bankenliquidität Betriebliche Finanzwirtschaft stw Betriebliche Liquidität stw Risikomanagement stw Theorie stw Finanzmathematik (DE-588)4017195-4 gnd Bankenliquidität (DE-588)4213508-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4213508-4 (DE-588)4114528-8 (DE-588)4113937-9 |
| title | A quantitative liquidity model for banks |
| title_auth | A quantitative liquidity model for banks |
| title_exact_search | A quantitative liquidity model for banks |
| title_full | A quantitative liquidity model for banks Christian Schmaltz |
| title_fullStr | A quantitative liquidity model for banks Christian Schmaltz |
| title_full_unstemmed | A quantitative liquidity model for banks Christian Schmaltz |
| title_short | A quantitative liquidity model for banks |
| title_sort | a quantitative liquidity model for banks |
| topic | Bank stw Bankenliquidität Betriebliche Finanzwirtschaft stw Betriebliche Liquidität stw Risikomanagement stw Theorie stw Finanzmathematik (DE-588)4017195-4 gnd Bankenliquidität (DE-588)4213508-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Bank Bankenliquidität Betriebliche Finanzwirtschaft Betriebliche Liquidität Risikomanagement Theorie Finanzmathematik Mathematisches Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018686356&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT schmaltzchristian aquantitativeliquiditymodelforbanks |