Zhang, Dewei; Wu, Chongfeng; Zhou, Chunyang - In: Applied Economics Letters 20 (2013) 16, pp. 1449-1452
In this article, we take the funding liquidity risk into account when determining the optimal liquidity reserve ratio for a commercial bank. A simple continuous-time model is developed, and a discrete-time model is built as a benchmark. We find that compared with the continuous-time model, the...