Minimizing banking risk in a Lévy process setting (Q2472045)

The authors apply the quadratic hedging approach developed by \textit{H. Föllmer} and \textit{D. Sondermann} [Contributions to mathematical economics, H. G. Debreu, 206--223 (1986; Zbl 0663.90006)] to a situation related to bank deposit withdrawals. Their contribution addresses the problem of determining risk minimizing hedging strategy that may be employed when a bank faces deposit withdrawals with fixed maturities resulting from lump sum deposits. Because of discontinuity associated with the dynamics of bank items, the authors construct a Lévy process-driven stochastic dynamic model that consists of assets and liabilities. The paper generalizes in several aspects the results by \textit{C. H. Fouche, J. Mukuddem-Petersen} and \textit{M. A. Petersen} [Appl. Stoch. Models Bus. Ind. 22, No. 1, 41--71 (2006; Zbl 1126.60053)] where the description of bank behavior in a Brownian motion framework was considered.