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An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits
4 references·3 citing·26 second hop
An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits (1999)An Empirical Analysis of the Jarrow-van D…The arbitrage-free valuation and hedging of demand deposits and credit card loans (1998)The arbitrage-free valuation …Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits (1996)Measuring Rents and Interest …Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness (1994)Fitting Yield Curves and Forw…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Government Guarantees and the Valuation of American Banks (2018)Government Guarantees and the…Long-term bank balance sheet management: Estimation and simulation of risk-factors (2013)Long-term bank balance sheet …Valuing Core Deposits (2012)Valuing Core DepositsThe valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bank Deposit Rate Clustering: Theory and Empirical Evidence (1999)Deposit market competition, wholesale funding, and bank risk (2013)The Rigidity of Prices: Evidence from the Banking Industry (1991)Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits (1992)Basel Committee On Banking Supervision (2010)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Risk management of non-maturing liabilities (2003)Operations in Financial Services—An Overview (2010)Banking on Deposits: Maturity Transformation without Interest Rate Risk (2018)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)The Investment, Financing, and Valuation of the Corporation (1963)Corporate Bond Default Risk: A 150-Year Perspective (2010)Crisis-related shifts in the market valuation of banking activities (2014)Dynamic Banking and the Value of Deposits (2020)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Macroeconomics and Reality (1980)Forward curve dynamics in the Nordic electricity market (2005)Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation (2007)Markets contagion during financial crisis: A regime-switching approach (2010)
this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1994Fitting Yield Curves and Forward Rate Curves With Maximum Smoothness143 cited
  • 1996Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits127 cited
  • 1998The arbitrage-free valuation and hedging of demand deposits and credit card loans120 cited

Cited by

  • 2012Valuing Core Deposits33 cited
  • 2013Long-term bank balance sheet management: Estimation and simulation of risk-factors31 cited
  • 2018Government Guarantees and the Valuation of American Banks31 cited

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