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Interne Transferpreise für Liquidität

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  • Heidorn, Thomas
  • Schmaltz, Christian

Abstract

Banks 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.

Suggested Citation

  • Heidorn, Thomas & Schmaltz, Christian, 2009. "Interne Transferpreise für Liquidität," Frankfurt School - Working Paper Series 125, Frankfurt School of Finance and Management.
  • Handle: RePEc:zbw:fsfmwp:125
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    References listed on IDEAS

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    1. Herrmann-Pillath, Carsten, 2009. "Kulturelle Hybridisierung und Wirtschaftstransformation in China," Frankfurt School - Working Paper Series 115, Frankfurt School of Finance and Management.
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    5. Heidorn, Thomas & Kaiser, Dieter G. & Roder, Christoph, 2009. "Empirische Analyse der Drawdowns von Dach-Hedgefonds," Frankfurt School - Working Paper Series 109, Frankfurt School of Finance and Management.
    6. Schalast, Christoph & Ockens, Klaas & Jobe, Clemens J. & Safran, Robert, 2006. "Work-out und Servicing von notleidenden Krediten: Berichte und Referate des HfB-NPL Servicing Forums 2006," Frankfurt School - Working Paper Series 76, Frankfurt School of Finance and Management.
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    8. Bannier, Christina E. & Grote, Michael H., 2008. "Equity gap? - Which equity gap? On the financing structure of Germany's Mittelstand," Frankfurt School - Working Paper Series 106, Frankfurt School of Finance and Management.
    9. Herrmann-Pillath, Carsten, 2008. "The naturalistic turn in economics: implications for the theory of finance," Frankfurt School - Working Paper Series 105, Frankfurt School of Finance and Management.
    10. Christina E. Bannier, 2010. "Is there a Holdup Benefit in Heterogeneous Multiple Bank Financing?," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 166(4), pages 641-661, December.
    11. Heidorn, Thomas & Meyer, Bernd & Pietrowiak, Alexander, 2004. "Performance-Effekte nach Directors' Dealings in Deutschland, Italien und den Niederlanden," Frankfurt School - Working Paper Series 57, Frankfurt School of Finance and Management.
    12. Roßbach, Peter, 2009. "Die Rolle des Internets als Informationsbeschaffungsmedium in Banken," Frankfurt School - Working Paper Series 120, Frankfurt School of Finance and Management.
    13. Wollersheim, Jutta & Barthel, Erich, 2008. "Kulturunterschiede bei Mergers & Acquisitions: Entwicklung eines Konzeptes zur Durchführung einer Cultural Due Diligence," Frankfurt School - Working Paper Series 94, Frankfurt School of Finance and Management.
    14. Dickler, Robert A. & Schalast, Christoph, 2006. "Distressed debt in Germany: What's next? Possible innovative exit strategies," Frankfurt School - Working Paper Series 73, Frankfurt School of Finance and Management.
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    Cited by:

    1. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series 146, Frankfurt School of Finance and Management.
    2. Schäffler, Christian & Schmaltz, Christian, 2009. "Market liquidity: an introduction for practitioners," Frankfurt School - Working Paper Series 131, Frankfurt School of Finance and Management.
    3. Herrmann-Pillath, Carsten, 2009. "Social capital, Chinese style: individualism, relational collectivism and the cultural embeddedness of the institutions-performance link," Frankfurt School - Working Paper Series 132, Frankfurt School of Finance and Management.
    4. Boeing, Philipp & Sandner, Philipp, 2011. "The innovative performance of China's national innovation system," Frankfurt School - Working Paper Series 158, Frankfurt School of Finance and Management.
    5. Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
    6. Kostka, Genia & Zhou, Jianghua, 2010. "Chinese firms entering China's low-income market: Gaining competitive advantage by partnering governments," Frankfurt School - Working Paper Series 147, Frankfurt School of Finance and Management.

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    More about this item

    Keywords

    Liquidity; liquidity risk; cost-based pricing; funds transfer prices; bank controlling;
    All these keywords.

    JEL classification:

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

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