How to Model Repricable-Rate, Non-maturity Products in a Bank: Theoretical and Practical Replicating Portfolio

Nadège Ribau-Peltre () and Pascal Damel ()
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Nadège Ribau-Peltre: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Pascal Damel: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

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Abstract: Managing value has taken on considerable importance as a financial topic at both the theoretical and practical level. Value management enables a capital's economic value and commercial margins to be calculated. The actuarial process to calculate this value is hampered by repricable-rate banking products without maturity (as non maturity deposits). This is a significant issue as this type of product figures widely on balance sheets. The aim of this article is to present and test several methods for calculating this value.

Date: 2013
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Published in Advanced Methods for Computational Collective Intelligence. Studies in Computational Intelligence, pp.269-278, 2013, ⟨10.1007/978-3-642-34300-1_26⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03216817

DOI: 10.1007/978-3-642-34300-1_26

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