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Антикризисное Управление Банком: Моделирование Привлечения Денежных Средств Для Поддержания Его Ликвидности
[Antirecessional bank management. The modelling of the borrowing money amount for supporting of its liquidity]

Author

Listed:
  • Lubich, Alexander
  • Voloshyn, Ihor
  • Tkachuk, Viktor

Abstract

The mathematical model of a borrowing money contour to cover bank's liquidity needs taking into account positive feedback loop between interest expense and the borrowing money amount is developed. The examples of valuation of the borrowing amount and the survival time are given. The model is useful to assess the bank’s liquidity under normal and stress scenarios.

Suggested Citation

  • Lubich, Alexander & Voloshyn, Ihor & Tkachuk, Viktor, 2014. "Антикризисное Управление Банком: Моделирование Привлечения Денежных Средств Для Поддержания Его Ликвидности [Antirecessional bank management. The modelling of the borrowing money amount for support," MPRA Paper 60984, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:60984
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    File URL: https://mpra.ub.uni-muenchen.de/60984/1/MPRA_paper_60984.pdf
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    More about this item

    Keywords

    liquidity risk; positive feedback loop; borrowing; interest expense; stress scenario;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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