Asset Liability Management for Banks

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.

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Year of publication:	2007
Authors:	Giandomenico, Rossano
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Contingent Claim \| Duration

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Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G13 - Contingent Pricing; Futures Pricing ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005039974