Munich Personal RePEc Archive

Антикризисное управление банком: моделирование привлечения денежных средств для поддержания его ликвидности

Lubich, Alexander and Voloshyn, Ihor and Tkachuk, Viktor (2014): Антикризисное управление банком: моделирование привлечения денежных средств для поддержания его ликвидности. Published in: Control systems and computers No. 3 (521) (11 June 2014): pp. 81-86.

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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.

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