Interne Transferpreise für Liquidität

Thomas Heidorn and Christian Schmaltz

No 125, Frankfurt School - Working Paper Series from Frankfurt School of Finance and Management

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.

Keywords: Liquidity; liquidity risk; cost-based pricing; funds transfer prices; bank controlling (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ban
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fsfmwp:125

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