Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/27931 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorHeidorn, Thomasen
dc.contributor.authorSchmaltz, Christianen
dc.date.accessioned2009-09-15-
dc.date.accessioned2009-09-16T12:08:57Z-
dc.date.available2009-09-16T12:08:57Z-
dc.date.issued2009-
dc.identifier.piurn:nbn:de:101:1-20090825122en
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
dc.language.isogeren
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt a. M.en
dc.relation.ispartofseries|aFrankfurt School - Working Paper Series |x125en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordLiquidityen
dc.subject.keywordliquidity risken
dc.subject.keywordcost-based pricingen
dc.subject.keywordfunds transfer pricesen
dc.subject.keywordbank controllingen
dc.titleInterne Transferpreise für Liquidität-
dc.typeWorking Paperen
dc.identifier.ppn608554448en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:fsfmwp:125en

Datei(en):
Datei
Größe
611.13 kB





Publikationen in EconStor sind urheberrechtlich geschützt.