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first. Next, a ‘fundamental' bank valuation model is introduced. Based on sound economics and finance principles, it allows …
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It is shown that a program of attracting the banking term deposits essentially depends on the term structure of new deposits. Solving the linear integral Volterra equations with difference kernel, it was received the explicit analytical solution for the program of attracting new deposits with an...
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regulation. The barrier options theory of corporate security valuation is applied to the contingent claims of a bank. The barrier …In this paper, we develop a contingent claim model to evaluate a bank’s equity and liabilities that integrates the … products (WMPs) and entrusted loans (ELs). The optimal bank interest margin, i.e., the spread between the loan rate and the …
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