Non-maturity deposits are a major source of funds for traditional banks. The deposit valuation model described by Jarrow and van Deventer (1998) assumes a short-term liquidity option and a single remuneration rate. We extend the traditional valuation model to the case where, as in the Benelux,...

The Basel Committee is currently reviewing the Accord on capital adequacy. It should provide new approaches that are more sensitive to risks. This paper focuses on the Internal Rating Based Advanced approach for retail exposures, which is compared to a one systematic factor model in order to...

Cet article étudie le choix de portefeuille en fonction de l'âge de l’investisseur. Il propose ainsi un abord empirique du débat animé relatif à la pertinence de la diversification temporelle. Grâce à une base de données originale contenant plus de 6000 portefeuilles placés en gestion...

Starting from the structural model developed by Merton (1974) and the derived notion of distance-to-default, we study the determinants of credit default swap (CDS) spreads for a sample of European banks over a period from January 2006 to December 2011. In particular, we test variables that are...

This paper presents an alternative modelling of the term structure of the credit spreads under a structural approach. We rely upon the barrier option pricing frameworkto price a corporate zero-coupon bond with a stochastic present value of the recovery consistent with the evidence on the...

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit...

Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know of that uses actual transaction...