Антикризисное управление банком: моделирование привлечения денежных средств для поддержания его ликвидности

The mathematical model of a borrowing money contour to cover bank's liquidity needs taking into account positive feedback loop between interest expense and the borrowing money amount is developed. The examples of valuation of the borrowing amount and the survival time are given. The model is useful to assess the bank’s liquidity under normal and stress scenarios.

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Alternative title:	Antirecessional bank management. The modelling of the borrowing money amount for supporting of its liquidity
Year of publication:	2014-12-28
Authors:	Lubich, Alexander ; Voloshyn, Ihor ; Tkachuk, Viktor
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	liquidity risk \| positive feedback loop \| borrowing \| interest expense \| stress scenario

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011113430