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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.

Bank liquidity. --- Bank management. --- Risk management. --- Finance --- Business & Economics --- Banking --- Finance - General --- Investment & Speculation --- Liquidity (Economics) --- Banks and banking. --- Business. --- Trade --- Agricultural banks --- Banking industry --- Commercial banks --- Depository institutions --- Assets, Frozen --- Frozen assets --- Finance. --- Finance, general. --- Economics --- Management --- Commerce --- Industrial management --- Financial institutions --- Money --- Funding --- Funds --- Currency question

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Long description: Turbulente Zeiten für die Banken- und Finanzmarktregulierung. Das anwendungsorientierte Buch stellt die komplexen Regelungen umfassend dar.Themen:Eigenmittel- und LiquiditätsausstattungOffenlegung von Kreditinstituten und WertpapierfirmenAnforderungen an das Risikomanagement im DetailDerivateregulierung (EMIR)Anforderungen zum Vertrieb und Handel von Wertpapieren (MiFID2/MiFIR)Anforderungen für Nichtbanken (Versicherungen, Investmentfonds, Hedgefonds)Darüber hinaus werden die Wechselwirkungen und Abhängigkeiten zwischen den verschiedenen Themenbereichen aufgezeigt. Praktische Beispiele veranschaulichen die komplexe Materie. Biographical note: Silvio Andrae Dr. Silvio Andrae, DSGV, Berlin Martin Hellmich Prof. Dr. Martin Hellmich, Professor für Risikomanagement und Regulierung, Frankfurt School of Finance, Frankfurt Christian Schmaltz Prof. Dr. Christian Schmaltz, Department of Economics and Business Economics, Aarhus University

Risk management --- Mathematical models.