On the risk management of demand deposits: quadratic hedging of interest rate margins

Alexandre Adam, Hamza Cherrat, Mohamed Houkari, Jean-Paul Laurent () and Jean-Luc Prigent
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Alexandre Adam: BNP-Paribas Personal Finance
Hamza Cherrat: CY - CY Cergy Paris Université
Mohamed Houkari: Lycée Henri-IV
Jean-Paul Laurent: PRISM Sorbonne - Pôle de recherche interdisciplinaire en sciences du management - UP1 - Université Paris 1 Panthéon-Sorbonne, Labex ReFi - UP1 - Université Paris 1 Panthéon-Sorbonne

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Date: 2020-08
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Published in Annals of Operations Research, 2020, ⟨10.1007/s10479-020-03726-1⟩

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Journal Article: On the risk management of demand deposits: quadratic hedging of interest rate margins (2022)
Working Paper: On the risk management of demand deposits: quadratic hedging of interest rate margins (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03676446

DOI: 10.1007/s10479-020-03726-1

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