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Fair Value and Interest Rate Risk of Demand Deposits

In: Ekonomický časopis/Journal of Economics, vol. 57, no. 7
Petr Strnad
Detaily:
Rok, strany: 2009, 682 - 699
Kľúčové slová:
demand deposits, interest rate risk, replicating portfolio models, stochastic models, hedge accounting
Typ článku: Vedecký článok / Article
O článku:
Demand deposits play an important role for commercial banks as they represent relatively reliable funding base as well as a source of income (they are remunerated bellow market rates, sometimes even at zero rates). At the same time, demand deposits are also responsible for significant part of volatility of profit and loss (P&L) – both economic and accounting. This paper demonstrates how the interest rate risk of demand deposits may be assessed and hedged under earnings perspective and economic value perspective and discusses whether these approaches are consistent with low volatility of accounting P&L.
Demand deposits play an important role for commercial banks as they represent relatively reliable funding base as well as a source of income (they are remunerated bellow market rates, sometimes even at zero rates). At the same time, demand deposits are also responsible for significant part of volatility of profit and loss (P&L) – both economic and accounting. This paper demonstrates how the interest rate risk of demand deposits may be assessed and hedged under earnings perspective and economic value perspective and discusses whether these approaches are consistent with low volatility of accounting P&L.
Ako citovať:
ISO 690:
Strnad, P. 2009. Fair Value and Interest Rate Risk of Demand Deposits. In Ekonomický časopis/Journal of Economics, vol. 57, no.7, pp. 682-699. 0013-3035.

APA:
Strnad, P. (2009). Fair Value and Interest Rate Risk of Demand Deposits. Ekonomický časopis/Journal of Economics, 57(7), 682-699. 0013-3035.