IDEAS home Printed from https://ideas.repec.org/r/eee/jbfina/v28y2004i7p1547-1568.html

Risk management of non-maturing liabilities

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Nyström, Kaj, 2008. "On deposit volumes and the valuation of non-maturing liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 709-756, March.
  2. John Ashton & Andros Gregoriou & Jerome V. Healy, 2013. "The relative influence of price and choice factors on retail deposit quantities," Working Papers 13006, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  3. Areski Cousin & Ying Jiao & Christian Yann Robert & Olivier David Zerbib, 2022. "Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints," Post-Print hal-05415071, HAL.
  4. Azzone, Michele & Barucci, Emilio, 2023. "Evaluation of sight deposits and central bank digital currency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  5. Grundke, Peter & Kühn, André, 2020. "The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 167-190.
  6. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2022. "Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework," Papers 2209.13314, arXiv.org.
  7. Areski Cousin & Ying Jiao & Christian Yann Robert & Olivier David Zerbib, 2022. "Optimal Asset Allocation Subject to Withdrawal Risk and Solvency Constraints," Risks, MDPI, vol. 10(1), pages 1-28, January.
  8. Marie-Paule Laurent, 2004. "Non-maturity deposits with a fidelity premium," Working Papers CEB 04-016.RS, ULB -- Universite Libre de Bruxelles.
  9. Hamza Cherrat & Jean-Luc Prigent, 2023. "On the Hedging of Interest Rate Margins on Bank Demand Deposits," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 935-967, October.
  10. Coulier, Lara & Pancaro, Cosimo & Pancotto, Livia & Reghezza, Alessio, 2025. "Banking on assumptions? How banks model deposit maturities," Working Paper Series 3140, European Central Bank.
  11. Hana Džmuráňová & Petr Teplý, . "Why Are Savings Accounts Perceived as Risky Bank Products?," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-17.
  12. Peter Hoffmann & Sam Langfield & Federico Pierobon & Guillaume Vuillemey, 2019. "Who Bears Interest Rate Risk?," The Review of Financial Studies, Society for Financial Studies, vol. 32(8), pages 2921-2954.
  13. Florentina Paraschiv, 2013. "Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(3), pages 1-19.
  14. Blöchlinger, Andreas, 2021. "Interest rate risk in the banking book: A closed-form solution for non-maturity deposits," Journal of Banking & Finance, Elsevier, vol. 125(C).
  15. Hans Dewachter & Marco Lyrio & Konstantijn Maes, 2006. "A multi-factor model for the valuation and risk managment of demand deposits," Working Paper Research 83, National Bank of Belgium.
  16. Hana Džmuráňová & Petr Teplý, 2016. "Why Are Savings Accounts Perceived as Risky Bank Products?," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(5), pages 617-633.
  17. Bats, Joost V. & Giuliodori, Massimo & Houben, Aerdt C.F.J., 2023. "Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
  18. Alexandre Adam & Hamza Cherrat & Mohamed Houkari & Jean-Paul Laurent & Jean-Luc Prigent, 2022. "On the risk management of demand deposits: quadratic hedging of interest rate margins," Annals of Operations Research, Springer, vol. 313(2), pages 1319-1355, June.
  19. Oliver Entrop & Marco Wilkens & Alexander Zeisler, 2009. "Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter," European Financial Management, European Financial Management Association, vol. 15(5), pages 1001-1018, November.
  20. Present, Thomas & Simoens, Mathieu & Vander Vennet, Rudi, 2023. "European bank margins at the zero lower bound," Journal of International Money and Finance, Elsevier, vol. 131(C).
  21. Memmel, Christoph, 2023. "Abschätzung des Zinseinkommens der Banken in Deutschland," Technical Papers 05/2023, Deutsche Bundesbank.
  22. Jan Vlachý, 2018. "Assessing Outsourced Distribution Channels," Contemporary Economics, Vizja University, vol. 12(2), June.
  23. Anton van Dyk, 2025. "Non-Maturing Deposits: Predictive Modelling and Risk Management," JRFM, MDPI, vol. 18(2), pages 1-22, February.
  24. Sven Balder & Wolf Christoph Gramatke & Antje Mahayni & Gordon Müller-Seitz & Jörg Sydow, 2014. "Bewertung von Kündigungsrechten in der privaten Wohnungsbaufinanzierung — Über den separaten Ausweis von Margen- und Kursschäden," Schmalenbach Journal of Business Research, Springer, vol. 66(1), pages 3-36, February.
  25. Konstantijn Maes & Thierry Timmermans, 2005. "Measuring the interest rate risk of Belgian regulated savings deposits," Financial Stability Review, National Bank of Belgium, vol. 3(1), pages 137-151, June.
  26. Blöchlinger, Andreas, 2015. "Identifying, valuing and hedging of embedded options in non-maturity deposits," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 34-51.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.