Munich Personal RePEc Archive

Asset Liability Management for Banks

Giandomenico, Rossano (2007): Asset Liability Management for Banks.

This is the latest version of this item.

[thumbnail of MPRA_paper_40111.pdf]

Download (48kB) | Preview


The model, by using a contingent claim approach, determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the effective duration of banks liabilities. Implications for the immunization are also treated.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.