On deposit volumes and the valuation of non-maturing liabilities

DOI10.1016/J.JEDC.2007.03.004MaRDI QIDQ844606zbMATH OpenOpenAlexFDO

Authors Kaj Nyström

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2007.03.004

zbMATH Keywords

risk managementvaluationdepositdeposit ratedeposit volumemarket ratenon-maturing liability

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

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Cites work

• A jump-diffusion model for pricing corporate debt securities in a complex capital structure
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Credit Scoring and Its Applications
• Management of non-maturing deposits by multistage stochastic programming
• Optimal capital structure and endogenous default
• Ordinary differential equations. An introduction
• Stochastic optimization in asset \& liability management: A model for non-maturing accounts
• The Valuation and Hedging of Variable Rate Savings Accounts
• The pricing of options and corporate liabilities

Cited in

(6)

• On the steady state of the replicating portfolio: accounting for a growth rate
• Dynamic banking with non-maturing deposits
• Non-maturing deposits, convexity and timing adjustments
• Panel data modeling of bank deposits
• Dynamic replication of non-maturing assets and liabilities
• The Valuation and Hedging of Variable Rate Savings Accounts

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