Abstract
In a bank’s balance sheet, non-maturing accounts can be characterized as follows: (1) There is no contractual maturity on this kind of account, allowing customers to withdraw or repay their investments or credits at any point in time at no penalty. (2) The customer rate is not indexed to certain interest rates or prices of traded instruments but adjustable to market conditions as a matter of policy. The most common examples include some forms of savings accounts or non-fixed mortgages as they are widespread in Europe and the U.S. These assets and liabilities are not only sensitive to changes in interest rates but have also embedded call or put options that may be excercised by the customer, making their management a particularly ambitious task. A homeowner, e.g., has the option to prepay the outstanding balance of his mortgage and hence, call the security.
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© 1998 Springer-Verlag Berlin Heidelberg
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Forrest, B., Frauendorfer, K., Schürle, M. (1998). A Stochastic Optimization Model for the Investment of Savings Account Deposits. In: Operations Research Proceedings 1997. Operations Research Proceedings, vol 1997. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58891-4_61
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DOI: https://doi.org/10.1007/978-3-642-58891-4_61
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