عنوان
پدید آورنده
موضوع
رده
HG1656.A3 B934 2009
HG1656
.
A3
B934
2009
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
3834918229
(Number (ISBN
3834985546
(Number (ISBN
9783834918222
(Number (ISBN
9783834985545
NATIONAL BIBLIOGRAPHY NUMBER
Number
b589128
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
A Quantitative Liquidity Model for Banks
General Material Designation
[Book]
First Statement of Responsibility
by Christian Schmaltz.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Wiesbaden
Name of Publisher, Distributor, etc.
Gabler Verlag / GWV Fachverlage GmbH, Wiesbaden
Date of Publication, Distribution, etc.
2009
GENERAL NOTES
Text of Note
Libros electrónicos descargables.
CONTENTS NOTE
Text of Note
Liquidity Concepts --; Liquidity Framework --; Liquidity Model --; Liquidity Management --; Liquidity Optimization --; Conclusion.
SUMMARY OR ABSTRACT
Text of Note
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.
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG1656
.
A3
Book number
B934
2009
PERSONAL NAME - PRIMARY RESPONSIBILITY
by Christian Schmaltz.
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Christian Schmaltz
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
