AbstractThis paper deals theoretically the estimation of duration of demand deposits that are defined as non-maturing products without any defined liquidity and interest rate behaviour by a contract as maturing products. Due to this fact, banks estimate liquidity and interest rate characteristics including duration of demand deposits by their internal models. We also describe the procedure called “replicating portfolios” than can be used to estimate duration of demand deposits
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační prác...
The focus of this research is to improve on existing savings rate and deposit volume models used for...
We propose a model that delivers endogenous variations in term spreads driven primarily by banks' po...
AbstractThis paper deals theoretically the estimation of duration of demand deposits that are define...
The paper presents a review of existing approaches to valuation of demand deposits. Special attent...
In this paper we propose a framework for the modelling of non-maturing liabilities, the latter refer...
A continuous-time deterministic model for analytical simulation of an impact of changes in credit tu...
Demand deposits modeling is of top importance for banking institutions and usually represents a larg...
The purpose of the 'tutorial' paper is to present a model to value banks. First, three traditional m...
Why are bank deposits demandable when they are also negotiable? We present a General Equilibrium mod...
Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2005.Banks and financ...
Because publicly available measures of deposit runoff risk are scarce, regulators’ models to measure...
The article deals with the questions of the definition of the conditionally permanent part of curren...
This paper incorporates endogenous money creation into the liquidity mismatch problem of Diamond and...
The model developed in this paper explains the last-resort borrowing, deposit rate and portfolio dec...
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační prác...
The focus of this research is to improve on existing savings rate and deposit volume models used for...
We propose a model that delivers endogenous variations in term spreads driven primarily by banks' po...
AbstractThis paper deals theoretically the estimation of duration of demand deposits that are define...
The paper presents a review of existing approaches to valuation of demand deposits. Special attent...
In this paper we propose a framework for the modelling of non-maturing liabilities, the latter refer...
A continuous-time deterministic model for analytical simulation of an impact of changes in credit tu...
Demand deposits modeling is of top importance for banking institutions and usually represents a larg...
The purpose of the 'tutorial' paper is to present a model to value banks. First, three traditional m...
Why are bank deposits demandable when they are also negotiable? We present a General Equilibrium mod...
Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2005.Banks and financ...
Because publicly available measures of deposit runoff risk are scarce, regulators’ models to measure...
The article deals with the questions of the definition of the conditionally permanent part of curren...
This paper incorporates endogenous money creation into the liquidity mismatch problem of Diamond and...
The model developed in this paper explains the last-resort borrowing, deposit rate and portfolio dec...
Univerzita Karlova v Praze Fakulta sociálních věd Institut ekonomických studií Název disertační prác...
The focus of this research is to improve on existing savings rate and deposit volume models used for...
We propose a model that delivers endogenous variations in term spreads driven primarily by banks' po...