Laurent, Marie-Paule - Centre Emile Bernheim, Solvay Brussels School of … - 2004
Non-maturity deposits are a major source of funds for traditional banks. The deposit valuation model described by Jarrow and van Deventer (1998) assumes a short-term liquidity option and a single remuneration rate. We extend the traditional valuation model to the case where, as in the Benelux,...