Toolbased Liquidity Coverage Ratio Control

Thèse de Master , 2012 , 97 Pages , Note: 1,3

Gestion d'entreprise - Controlle de gestion

The topic of this thesis arose from an internship with Deloitte Germany. The internship took place in a bank preparing for new regulatory claims, especially liquidity. After consulting for a better understatement in the new regulatory needs and improving reporting frequency and quality the issue of the costs to meet the Liquidity Coverage Ratio (LCR) came up.
Thus in this thesis we will develop a framework on how to evaluate regulatory caused liquidity costs for the LCR. This framework is then implemented into a Visual Basic for Application (VBA) tool, which displays a “fair” internal transfer price. Hence the concept of Funds Transfer Pricing (FTP) is used. The thesis will also have a look on the current situation in banks, I will mention ideas on further extensions in the tool as well. In general the thesis stays in touch with practitioner’s needs and market developments.

Inhaltsverzeichnis (Table of Contents)

:

• Introduction
• Structure
• Constructing the LCR
• Quantitative Impact Study
• Introduction to Funds Transfer Pricing
• Liquidity Pricing
• General Dependence of Liquidity Costs
• Funds Transfer Pricing
• Derivation of the Liquidity Costs
• Liquidity Costs of a product
• A Model
• Derivation of the Cash Equivalent
• Overall Example
• Sensitivity
• Bank Management
• Expired Situations of Non-Optimal Fulfilment
• Target Based Pricing
• Data
• Discussion and Limitations
• Discussion
• Limitations
• Conclusion and Outlook

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

: This thesis aims to develop a framework for evaluating liquidity costs caused by the Liquidity Coverage Ratio (LCR), a new regulatory requirement for banks. This framework is then implemented into a Visual Basic for Application (VBA) tool that displays a “fair” internal transfer price based on the concept of Funds Transfer Pricing (FTP). The thesis explores the current situation in banks and outlines ideas for further extensions to the tool.

• Liquidity Coverage Ratio (LCR) and its impact on banks
• Funds Transfer Pricing (FTP) as a tool for managing liquidity costs
• Development of a model for pricing liquidity costs
• Implementation of the model into a VBA tool
• Implications for bank management and regulatory compliance

Zusammenfassung der Kapitel (Chapter Summaries)

: This section will provide summaries of the main themes, arguments, and narrative elements of each chapter. It will exclude summaries of the conclusion, final chapter, or any sections containing major revelations or spoilers.

Schlüsselwörter (Keywords)

: The main keywords and focus topics of this thesis are Liquidity Coverage Ratio, Funds Transfer Pricing, Basel III, Capital Requirements Directive (CRD) IV, Liquidity Costs, and Transfer Pricing. The thesis explores the application of FTP to manage liquidity costs in a regulatory environment defined by Basel III and CRD IV, focusing on the implementation of these principles in a VBA tool.

• Université: University of Hannover
• Note: 1,3
• Auteur: Claus Bissinger (Auteur)
• Année de publication: 2012
• Pages: 97
• N° de catalogue: V207968
• ISBN (ebook): 9783656352563
• ISBN (Livre): 9783656353010
• Langue: anglais
• mots-clé: Liquidity Coverage Ratio, Funds Transfer Pricing, Basel III, Liquidity Costs, Transfer Pricing, Capital Requirements Directive (CRD) IV, JEL classification, G21, Banks, G28, Government Policy, Regulation