On the risk management of demand deposits: quadratic hedging of interest rate margins

被引:2
|
作者
Adam, Alexandre [1 ]
Cherrat, Hamza [2 ]
Houkari, Mohamed [3 ]
Laurent, Jean-Paul [4 ,5 ]
Prigent, Jean-Luc [2 ,6 ]
机构
[1] BNP Paribas Personal Finance, Paris, France
[2] CY Cergy Paris Univ, THEMA, 33 Bd Port, Cergy Pontoise, France
[3] Lycee Henri IV, Paris, France
[4] Univ Paris 1 Pantheon Sorbonne, PRISM, Paris, France
[5] Univ Paris 1 Pantheon Sorbonne, Labex Refi, Paris, France
[6] CY Cergy Paris Univ, Labex MME DII, 33 Bd Port, Cergy Pontoise, France
关键词
Risk management; Demand deposits; Interest rate margins; Quadratic hedging; BANK INTEREST MARGINS; CONTINGENT CLAIMS; MEAN-VARIANCE; DETERMINANTS; ARBITRAGE; MARKETS; CREDIT; MODEL;
D O I
10.1007/s10479-020-03726-1
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
This paper examines the problem of hedging banks interest rate margins. We assume that the demand's deposits follow an exponential Levy process with potential jumps. The forward market rates are assumed to follow the standard market model introduced by Brace et al. (Math Finance 7(2):127-155, 1997). As Adam et al. (Hedging interest rate margins on demand deposits, Universite Paris 1 Pantheon-Sorbonne working paper, 2012), we consider that deposit rates depend linearly on market rates. Face to incompleteness, the liability manager must hedge both interest rate and demand deposit risks. For this purpose, we introduce various quadratic hedging criteria, allowing us to provide explicit hedging strategies that we further analyze. We illustrate in particular the impact of both the trends and the volatilities of interest rates and demand deposits.
引用
收藏
页码:1319 / 1355
页数:37
相关论文
共 50 条
  • [41] Pricing and risk management of interest rate swaps
    Mitra, Sovan
    Date, Paresh
    Mamon, Rogemar
    Wang, I-Chieh
    EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2013, 228 (01) : 102 - 111
  • [42] IDENTIFICATION AND MANAGEMENT OF INTEREST-RATE RISK
    MALBURG, CR
    ROTH, JJ
    CERNICH, MS
    JOURNAL OF ACCOUNTANCY, 1988, 165 (05): : 130 - &
  • [43] Mieremance Interest Rate Marketing and Risk Management
    Zhang Ping
    PROCEEDINGS OF THE TENTH INTERNATIONAL FORUM - INTERNATIONAL TRADE AND INVESTMENT, 2013, : 230 - 235
  • [44] Interest Rate Risk Management of Commercial Banking
    Wu Mingqi
    PROCEEDINGS OF THE 9TH (2017) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, 2017, : 182 - 185
  • [45] Interest Rate Risk Management in Uncertain Times
    Bretscher, Lorenzo
    Schmid, Lukas
    Vedolin, Andrea
    REVIEW OF FINANCIAL STUDIES, 2018, 31 (08): : 3019 - 3060
  • [46] THE MANAGEMENT OF INTEREST-RATE RISK - COMMENT
    CLAYTON, RJ
    NAVRATIL, FJ
    JOURNAL OF PORTFOLIO MANAGEMENT, 1985, 11 (04): : 64 - 66
  • [47] Modeling nonmaturing deposits: a framework for interest and liquidity risk management
    Avsar, Emil
    Ruimy, Benjamin
    JOURNAL OF RISK, 2021, 24 (01): : 79 - 106
  • [48] Quantification of Model Risk in Quadratic Hedging in Finance
    Daveloose, Catherine
    Khedher, Asma
    Vanmaele, Michele
    STOCHASTICS OF ENVIRONMENTAL AND FINANCIAL ECONOMICS, 2016, 138 : 211 - 241
  • [49] HEDGING INTEREST-RATE RISK WITH FUTURES PORTFOLIOS UNDER TERM STRUCTURE EFFECTS
    HILLIARD, JE
    JOURNAL OF FINANCE, 1984, 39 (05): : 1547 - 1569
  • [50] Robust long-term interest rate risk hedging in incomplete bond markets
    Shen, Sally
    Pelsser, Antoon
    Schotman, Peter
    JOURNAL OF PENSION ECONOMICS & FINANCE, 2021, 20 (02): : 273 - 300