Based on a stylised financial system along with a systemic perspective thereof, we consider the structure of an aggregated banking system that is vulnerable to liquidity risks. Within this setup, a consistent mathematical modelling framework for term interest rate systems is derived that enables...

This paper aims to unify and generalize several of the widely-used pricing approaches for long-dated contracts with a focus on market-consistent valuation. It proposes a loading pricing concept that combines the theoretically possible minimal price of a contract with its formally obtained risk...