Fund transfer pricing for bank deposits: the case of products with undefined maturity

Jean Dermine ()
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Jean Dermine: INSEAD, Postal: 1 Ayer Rajah Avenue, Singapore 138676, http://faculty.insead.edu/jean-dermine

Journal of Financial Transformation, 2016, vol. 43, 132-149

Abstract: The paper presents a pedagogical yet rigorous analysis of fund transfer pricing for deposits with undeined maturity. The objective is to identify the conditions needed to convert the case of deposits with undefined maturity into one with a single effective maturity. This in turn allows us to identify the many circumstances under which the practice of conversion into a single effective maturity is not warranted. Attention is called to the context in which the choice of a maturity is made: pricing, evaluation of performance and hedging of interest rate risk on deposits with undefined maturity.

Keywords: banking; bank regulation; ALM (search for similar items in EconPapers)
JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1563

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