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

Alexander Lubich, Ihor Voloshyn and Viktor Tkachuk

MPRA Paper from University Library of Munich, Germany

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.

Keywords: liquidity risk; positive feedback loop; borrowing; interest expense; stress scenario (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2014-12-28
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Published in Control systems and computers 3 (521) (2014): pp. 81-86

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