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Asset Liability Management for Banks

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

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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.

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