A multi-factor model for the valuation and risk managment of demand deposits
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Cited by:
- Freriks, Jorien & Kakes, Jan, 2024. "Lessons from low interest rate policy: How did euro area banks respond?," Journal of International Money and Finance, Elsevier, vol. 146(C).
- Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Bank of Finland Research Discussion Papers 27/2009, Bank of Finland.
- Florentina Paraschiv, 2013.
"Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts,"
Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(3), pages 1-19.
- Paraschiv, Florentina, 2012. "Adjustment Policy of Deposit Rates in the Case of Swiss non-Maturing Savings Accounts," Working Papers on Finance 1219, University of St. Gallen, School of Finance.
- Geert Langenus, 2006. "Fiscal sustainability indicators and policy design in the face of ageing," Working Paper Research 102, National Bank of Belgium.
- repec:zbw:bofrdp:2009_027 is not listed on IDEAS
- Vajanne, Laura, 2009. "Inferring market power from retail deposit interest rates in the euro area," Research Discussion Papers 27/2009, Bank of Finland.
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More about this item
Keywords
Demand deposits; ALM; risk management; arbitrage free pricing; flexible-affine term structure model; interest rate risk; IFRS 39; fair value accounting;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ACC-2006-05-20 (Accounting and Auditing)
- NEP-FIN-2006-05-20 (Finance)
- NEP-FMK-2006-05-20 (Financial Markets)
- NEP-RMG-2006-05-20 (Risk Management)
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