A quantitative liquidity model for banks

Autori

• Christian Schmaltz

Parametri

• Libri di testo
• Libri di testo universitari

Maggiori informazioni sul libro

Liquidity is essential for banks, yet its management has often been overlooked, particularly in the years leading up to the financial crisis of 2007/2009, when many banks found themselves scrambling for liquidity amid dried-up interbank markets. Despite its importance, existing modeling techniques for bank liquidity remain simplistic compared to the advanced methods used for credit and market risks. Recent regulatory changes in Germany now permit banks to employ internal liquidity models for regulatory reporting, highlighting the need for a more sophisticated liquidity model that incorporates advanced stochastic techniques, key liquidity variables, and strategies for internal liquidity allocation and optimization. Christian Schmaltz's work addresses this gap in the literature, offering three significant contributions: the identification of key liquidity variables, the development of an innovative approach to internal liquidity allocation, and the calculation of liquidity transfer prices. Key variables include customer deposits, credit, funding spreads, funding capacity, haircuts, and short-term interest rates, all of which contribute to liquidity risk due to their unpredictable nature. By establishing a liquidity model that assumes specific stochastic processes for these variables, Schmaltz provides a comprehensive framework for understanding and managing bank liquidity in a more effective manner.

Lingua: Inglese

Pubblicato: 2009

(In brossura)