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A Quantitative Liquidity Model for Banks - Christian Schmaltz
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Christian Schmaltz:

A Quantitative Liquidity Model for Banks - neues Buch

2009, ISBN: 9783834918222

ID: 168714709

Liquidity is a core resource and its management is a core activity of banks. Nevertheless, liquidity management has not received much attention during the last decades, as liquidity has not been perceived as scarce. This perception has clearly changed during the ?nancial crisis 2007/2009. Facing dried interbank markets, many banks were desperately looking for liquidity. Despite its crucial role, the modeling techniques for bank liquidity are so far rather simple, which sharply contrasts the sophisticated techniques used for other risks as credit or market. Furthermore, German regulators now allow banks to use internal liquidity models for regulatory reporting. This leads to the need to develop a liquidity model for banks that uses advanced stochastic techniques, incorporates all liquidity key variables, discusses internal liquidity allocation and optimization. The work of Christian Schmaltz closes this gap in the literature. There are three major contributions: 1. Key liquidity variables are derived. 2. An innovative way to internally allocate liquidity is developed. 3. Transfer prices of liquidity are calculated. The key variables are derived from the liquidity condition of banks and the channels to generate additional cash ?ows. Customer deposits and credit, funding spread and fu- ing capacity, haircuts and short term interest rates are identi?ed as key liquidity variables. Liquidity risk is the consequence of the non-deterministic nature of these variables, which may take large adverse values (liquidity crisis). Having identi?ed the key variables, a l- uidity model is set up by assuming a particular stochastic process for each variable. ................. This book collects papers presented at ISDMM09, the fourth international meeting devoted to Mechanics of Material Forces. Coverage spans the mechanics of defects: cracks, dislocations, inclusions, precipitates, phase boundaries, and shape optimization. Bücher > Fremdsprachige Bücher > Englische Bücher Taschenbuch 27.10.2009, Gabler, .200

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A Quantitative Liquidity Model for Banks - Christian Schmaltz
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)

Christian Schmaltz:

A Quantitative Liquidity Model for Banks - neues Buch

2009, ISBN: 9783834918222

ID: b4d511558ccb0b11314fd746fcdb787a

.................This book collects papers presented at ISDMM09, the fourth international meeting devoted to Mechanics of Material Forces. Coverage spans the mechanics of defects: cracks, dislocations, inclusions, precipitates, phase boundaries, and shape optimization. Liquidity is a core resource and its management is a core activity of banks. Nevertheless, liquidity management has not received much attention during the last decades, as liquidity has not been perceived as scarce. This perception has clearly changed during the ?nancial crisis 2007/2009. Facing dried interbank markets, many banks were desperately looking for liquidity. Despite its crucial role, the modeling techniques for bank liquidity are so far rather simple, which sharply contrasts the sophisticated techniques used for other risks as credit or market. Furthermore, German regulators now allow banks to use internal liquidity models for regulatory reporting. This leads to the need to develop a liquidity model for banks that uses advanced stochastic techniques, incorporates all liquidity key variables, discusses internal liquidity allocation and optimization. The work of Christian Schmaltz closes this gap in the literature. There are three major contributions: 1. Key liquidity variables are derived. 2. An innovative way to internally allocate liquidity is developed. 3. Transfer prices of liquidity are calculated. The key variables are derived from the liquidity condition of banks and the channels to generate additional cash ?ows. Customer deposits and credit, funding spread and fu- ing capacity, haircuts and short term interest rates are identi?ed as key liquidity variables. Liquidity risk is the consequence of the non-deterministic nature of these variables, which may take large adverse values (liquidity crisis). Having identi?ed the key variables, a l- uidity model is set up by assuming a particular stochastic process for each variable. Bücher / Sachbücher / Business & Karriere / Wirtschaft 978-3-8349-1822-2, Gabler

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A Quantitative Liquidity Model for Banks - Schmaltz, Christian
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Schmaltz, Christian:
A Quantitative Liquidity Model for Banks - gebunden oder broschiert

ISBN: 9783834918222

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.................This book collects papers presented at ISDMM09, the fourth international meeting devoted to Mechanics of Material Forces. Coverage spans the mechanics of defects: cracks, dislocations, inclusions, precipitates, phase boundaries, and shape optimization. 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. 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 model is used to derive liquidity funds transfer prices and to optimally manage liquidity. Buch / Sozialwissenschaften, Recht & Wirtschaft / Wirtschaft / Einzelne Wirtschaftszweige & Branchen

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A Quantitative Liquidity Model for Banks - Schmaltz, Christian
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Schmaltz, Christian:
A Quantitative Liquidity Model for Banks - neues Buch

ISBN: 9783834918222

ID: 118992531

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 model is used to derive liquidity funds transfer prices and to optimally manage liquidity. 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 model is used to derive liquidity funds transfer prices and to optimally manage liquidity. Buch > Sozialwissenschaften, Recht & Wirtschaft > Wirtschaft > Betriebswirtschaft, Betriebswirtschaftlicher Verlag Gabler / Gabler, Betriebswirt.-Vlg

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A Quantitative Liquidity Model for Banks - Schmaltz, Christian
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
Schmaltz, Christian:
A Quantitative Liquidity Model for Banks - neues Buch

ISBN: 9783834918222

ID: 156974636

................. This book collects papers presented at ISDMM09, the fourth international meeting devoted to Mechanics of Material Forces. Coverage spans the mechanics of defects: cracks, dislocations, inclusions, precipitates, phase boundaries, and shape optimization. ................. This book collects papers presented at ISDMM09, the fourth international meeting devoted to Mechanics of Material Forces. Coverage spans the mechanics of defects: cracks, dislocations, inclusions, precipitates, phase boundaries, and shape optimization. Buch > Sozialwissenschaften, Recht & Wirtschaft > Wirtschaft > Einzelne Wirtschaftszweige & Branchen, Gabler

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Details zum Buch
A Quantitative Liquidity Model for Banks
Autor:

Schmaltz, Christian

Titel:

A Quantitative Liquidity Model for Banks

ISBN-Nummer:

3834918229

: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.

Detailangaben zum Buch - A Quantitative Liquidity Model for Banks


EAN (ISBN-13): 9783834918222
ISBN (ISBN-10): 3834918229
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2009
Herausgeber: Gabler, Betriebswirt.-Vlg
223 Seiten
Gewicht: 0,368 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 13.01.2008 08:02:48
Buch zuletzt gefunden am 26.10.2016 15:22:37
ISBN/EAN: 3834918229

ISBN - alternative Schreibweisen:
3-8349-1822-9, 978-3-8349-1822-2

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