Variable rate savings accounts have two main features. The client rate is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and actions are often performed with a delay. This paper focusses on measuring the interest rate risk of...

For the purpose of Value-at-Risk (VaR) analysis, a model for the return distribution is important because it describes the potential behavior of a financial security in the future. We analyze the extension of the normal distribution function to allow for fatter tails and for time-varying...

This paper describes alternative approaches to estimate the Value at Risk (VaR) of a position. Four methods are compared: the unconditional case, the model with time varying drift (modeled as an AR(l) process), the model with time varying drift and time varying volatility (modeled as a...

Variable rate savings accounts have two main features: the client rate is variable and deposits can be invested and withdrawn at any time. The client rate is not always equal to the short rate...