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dc.contributor.authorHeidorn, Thomasen_US
dc.contributor.authorSchmaltz, Christianen_US
dc.date.accessioned2009-09-15en_US
dc.date.accessioned2009-09-16T12:08:57Z-
dc.date.available2009-09-16T12:08:57Z-
dc.date.issued2009en_US
dc.identifier.piurn:nbn:de:101:1-20090825122en_US
dc.identifier.urihttp://hdl.handle.net/10419/27931-
dc.description.abstractBanks are liquidity brokers: they acquire it at the market in form of deposits and lend it in form of loans. As liquidity is not for free, the costs of its acquisition have to be transferred to those (departments) that lend it. Furthermore, banks take liquidity risk. The costs to hedge this risk have to be transferred to those that bring this risk into the bank. We propose a pricing framework that consistently prices both liquidity and liquidity risk in banks. The transfer prices are based on the cost that liquidity and liquidity risk imply (cost-based pricing) and linked to market variables to avoid discretionary biases. Using a representative balance sheet of a commercial bank, we demonstrate the application of our approach. Our approach ensures that banks incorporate liquidity cost (often neglected so far) in customer prices. Furthermore, they comply with the sound principles of liquidity management that explicitly require a liquidity transfer pricing.en_US
dc.language.isogeren_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesWorking paper series // Frankfurt School of Finance & Management 125en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordLiquidityen_US
dc.subject.keywordliquidity risken_US
dc.subject.keywordcost-based pricingen_US
dc.subject.keywordfunds transfer pricesen_US
dc.subject.keywordbank controllingen_US
dc.titleInterne Transferpreise für Liquiditäten_US
dc.typeWorking Paperen_US
dc.identifier.ppn608554448en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:fsfmwp:125-
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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