Asset Liability Management for Banks

Rossano Giandomenico

MPRA Paper from University Library of Munich, Germany

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 implied duration of banks liabilities so to show that the surrender possibility will reduce the effective duration of banks liabilities. Implications for the immunization are also treated.

Keywords: Contingent Claim; Duration (search for similar items in EconPapers)
JEL-codes: G13 G21 (search for similar items in EconPapers)
Date: 2008-07-05
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https://mpra.ub.uni-muenchen.de/18848/1/MPRA_paper_18848.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/40111/1/MPRA_paper_40111.pdf revised version (application/pdf)

Related works:
Journal Article: Asset Liability Management for Banks (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:18848

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