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