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A multi-factor model for the valuation and risk management of demand deposits
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A multi-factor model for the valuation and risk management of demand deposits
A multi-factor model for the valuation and risk management of demand deposits
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mai 2006
Dewachter, H.
/
Lyrio, M.
/
Maes, K.
Working Paper N° 83
Classification JEL:
G12
G21
Mots-clés:
demand deposits
ALM
risk management
arbitrage free pricing
flexible-affine term structure model
interest rate risk
IFRS 39
fair value accounting
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