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Fund transfer pricing for bank deposits: the case of products with undefined maturity

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Abstract

The paper presents a pedagogical yet rigorous analysis of fund transfer pricing for deposits with undeined maturity. The objective is to identify the conditions needed to convert the case of deposits with undefined maturity into one with a single effective maturity. This in turn allows us to identify the many circumstances under which the practice of conversion into a single effective maturity is not warranted. Attention is called to the context in which the choice of a maturity is made: pricing, evaluation of performance and hedging of interest rate risk on deposits with undefined maturity.

Suggested Citation

  • Dermine, jean, 2016. "Fund transfer pricing for bank deposits: the case of products with undefined maturity," Journal of Financial Transformation, Capco Institute, vol. 43, pages 132-149.
    • Handle: RePEc:ris:jofitr:1563
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    More about this item

    Keywords

    banking; bank regulation; ALM;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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