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How to Model Repricable-Rate, Non-maturity Products in a Bank: Theoretical and Practical Replicating Portfolio

Part of the Studies in Computational Intelligence book series (SCI, volume 457)

Abstract

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.

Keywords

value ALM “asset liability management” replicating portfolio repriceable rate non-maturity product 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.The University of LorraineLorraineFrance

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