Books

Robo-Advisory - Investing in the Digital Age 

Peter Scholz, Palgrave Macmillan

Robo-Advisory is a field that has gained momentum over recent years, propelled by the increasing digitalization and automation of global financial markets. More and more money has been flowing into automated advisory, raising essential questions regarding the foundations, mechanics, and performance of such solutions. However, a comprehensive summary taking stock of this new solution at the intersection of finance and technology with consideration for both aspects of theory and implementation has so far been wanting. This book offers such a summary, providing unique insights into the state of Robo-Advisory.

Drawing on a pool of expert authors from within the field, this edited collection aims at being the vital go-to resource for academics, students, policy-makers, and practitioners alike wishing to engage with the topic. Split into four parts, the book begins with a survey of academic literature and its key insights paired with an analysis of market developments in Robo-Advisory thus far. The second part tackles specific questions of implementation, which are complemented by practical case studies in Part III. Finally, the fourth part looks ahead to the future, addressing questions of key importance such as artificial intelligence, big data, and social networks. Thereby, this timely book conveys both a comprehensive grasp of the status-quo as well as a guiding outlook onto future trends and developments within the field.

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Financial mathematics in the banking practice

Thomas Heidorn, Christian Schaeffler 

Effective interest calculation, option price theory, hedging - financial mathematics are indispensable tools for banking practice. Although EDP does a large part of the calculations, it is important for every banker to understand fundamental numerical relationships in order to be able to plan effective strategies in the financial world. In this book, all relevant instruments are explained, from simple cash value calculations to hedging with futures and swaps, and illustrated with the help of many examples. The sixth edition includes a new section on calculating credit risk. The author has also expanded the fundamental analysis of stocks.

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Regulatory risk management

  • Equity and liquidity resources

  • Disclosure of credit institutions and investment firms

  • Requirements for risk management in detail 

  • Derivatives regulation

  • (EMIR) Requirements for the sale and trading of securities

  • (MiFID2 / MiFIR) Requirements for non-banks (insurance companies, investment funds , Hedge funds)

  • In addition, the interactions and dependencies between the various subject areas are shown. Practical examples illustrate the complex matter.

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Company finance

The textbook provides you with a well-founded introduction to the financial management of companies and, in its 4th, updated edition, presents not only current theory, but also the most modern developments (including banking regulation in the EU). 

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Control of liquidity reserves in banks using a quantitative transfer price model

Christian Schaeffler

The focus of the present work is the control of the liquidity reserve based on a quantitative transfer price model in banks. In this regard, the work deals with the issues of an optimal liquidity reserve and analyzes the resulting opportunity and exercise costs using various refinancing strategies (facility, repo, sale). The cost-optimal use of these strategies within a portfolio model forms the core of the work with the aim of transforming the calculated costs through risk premiums to the liquidity consumer. To determine the optimal liquidity reserve, an approach is chosen that is on the one hand quantitatively traceable, but also the Requirements of banking supervision taken into account. The aim in this regard is to create a backtestable method for determining part of the stock - the liquidity buffer - and to compensate for a possible model failure by taking into account stress tests (liquidity reserve). Thanks to this stock definition, it is possible to quantify costs for the most common refinancing measures and to use a model, which at least mitigates the formation of cluster risks. The resulting risk premiums are allocated to the cost-generating departments on the basis of internal transactions. Finally, a cross-institutional risk transfer is discussed. The book is aimed at lecturers and students of business administration with a focus on banking, financing or controlling as well as the relevant practitioners 

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A quantitative liquidity model for banks

Christian Schmaltz

Internal liquidity models for banks have gained considerable importance since German regulators have decided to accept them for regulatory reporting. Christian Schmaltz identifies product cash flows, funding spread, funding capacity, haircuts, and short-term interest rates as key liquidity variables. Then, he assumes specific stochastic processes for the key variables leading to a particular liquidity model. The modeling focus lies on the product cash flow that is described by a jump-diffusion process. Finally, the author applies the model to the allocation, internal pricing, and optimization of liquidity

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Interest rate products in Euroland

Asset-backed securities, commercial papers, forward rate agreements, swaptions & co

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Treasury management

In the last few years the importance of treasury management has increased significantly. In the past, asset-liability management was geared more towards securing liquidity and controlling assets, but the development of the markets for derivative financial products has led to new, more extensive control options. With the increasing international interdependence, in addition to the original liquidity management, the importance of foreign exchange management increased. The risk positions in foreign currencies increased and with it the need to react to exchange rate fluctuations. 

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