Asset Liability Management for Banks

Rossano Giandomenico

The IUP Journal of Bank Management, 2011, vol. X, issue 4, 31-46

Abstract: The model, by using a contingent claim approach, determines the fair value of the banks’ liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the interest rate risk in combination with the stochastic optimization to obtain the implications for immunization.

Date: 2011
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Working Paper: Asset Liability Management for Banks (2008)
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