IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-540-77958-2_13.html
   My bibliography  Save this book chapter

A Banking Firm Model: The Role of Market, Liquidity and Credit Risks

In: Computational Methods in Financial Engineering

Author

Listed:
  • Brenda González-Hermosillo

    (International Monetary Fund)

  • Jenny X. Li

    (The Pennsylvania State University
    Yunnan University of Finance and Economics)

Abstract

A theoretical and computational investigation on how the expected market, credit and liquidity risks play a role in daily business decisions made by profit maximizing banks is investigated. These risks in effect interact with each other, particularly at times of stress, and they are always considered simultaneously in practice. In all the existing studies in the theory of banking firm, however, not all of these three key risks have been considered simultaneously. A theoretical framework is developed to take a full account for all of these three risks concurrently. The resulting model amounts to a dynamic equilibrium problem which involves a high dimensional nonlinear optimization. This optimization is solved by new numerical methods proposed. The numerical results are calibrated to examine the implications of the model and to shed light on the policy implications.

Suggested Citation

  • Brenda González-Hermosillo & Jenny X. Li, 2008. "A Banking Firm Model: The Role of Market, Liquidity and Credit Risks," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 259-271, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-77958-2_13
    DOI: 10.1007/978-3-540-77958-2_13
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
    2. Antonio Ruiz Porras, 2011. "ALM practices, multiple uncertainties and monopolistic behavior: a microeconomic study of banking decisions," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 8(2), pages 163-181, Julio-Dic.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-540-77958-2_13. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.