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: IPCMS - Institut de Physique et Chimie des Matériaux de Strasbourg - UNISTRA - Université de Strasbourg - CNRS - Centre National de la Recherche Scientifique - MNGE - Matériaux et Nanosciences Grand-Est - UNISTRA - Université de Strasbourg - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - INSERM - Institut National de la Santé et de la Recherche Médicale - INC-CNRS - Institut de Chimie - CNRS Chimie - CNRS - Centre National de la Recherche Scientifique - Réseau nanophotonique et optique - UNISTRA - Université de Strasbourg - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - CNRS - Centre National de la Recherche Scientifique
Hamza Cherrat: CY - CY Cergy Paris Université
Mohamed Houkari: Financial models, Group ALM - BNP Paribas, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Jean-Paul Laurent: MCC - Ministère de la Culture et de la Communication, ENSAM - Ecole Nationale Supérieure d'Architecture de Montpellier

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Date: 2022
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Published in Annals of Operations Research, inPress, ⟨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 (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03679403

DOI: 10.1007/s10479-020-03726-1

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