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dc.contributor.authorHeidorn, Thomasen_US
dc.contributor.authorSchmaltz, Christianen_US
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.publisher|aFrankfurt School of Finance & Management|cFrankfurt, M.en_US
dc.relation.ispartofseries|aWorking paper series // Frankfurt School of Finance & Management|x125en_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.type|aWorking Paperen_US

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