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.

Vorwort
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Autorentext
Dr. Christian Schmaltz completed his doctoral thesis under the supervision of Prof. Dr. Thomas Heidorn at the Frankfurt School of Finance and Management. He works as a consultant for risk management.

Inhalt
Liquidity Concepts.- Liquidity Framework.- Liquidity Model.- Liquidity Management.- Liquidity Optimization.- Conclusion.