How to Model Repricable-Rate, Non-maturity Products in a Bank: Theoretical and Practical Replicating Portfolio - Université de Lorraine
Chapitre D'ouvrage Année : 2013

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.

Dates et versions

hal-03216817 , version 1 (04-05-2021)

Identifiants

Citer

Nadège Ribau-Peltre, Pascal Damel. How to Model Repricable-Rate, Non-maturity Products in a Bank: Theoretical and Practical Replicating Portfolio. Advanced Methods for Computational Collective Intelligence. Studies in Computational Intelligence, pp.269-278, 2013, ⟨10.1007/978-3-642-34300-1_26⟩. ⟨hal-03216817⟩
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