We develop a formal fixed-income framework to value sticky deposits. This framework provides closed-form expressions for deposit values and allows us to study the impact of stickiness on deposit interest-rate and runoff risks. The duration of a bank deposit can be either positive or negative,...

In deregulated electricity markets, Generation Companies (GENCOs) are exposed to substantial financial risk due to volatile and uncertain electricity prices. Traditional generation asset valuation approaches, which rely primarily on expected profit, fail to adequately capture downside risk under...