Dynamics of turnovers of deposit accounts was studied by numerically solving Volterra summation equation. The obtained picture corresponds qualitatively to the actual oscillations of turnovers that are often observed in banking practice. It is shown that oscillatory regimes appear not only under...

It is developed the analytical approach based on the future value concept to directly extract the forward yield curve from the fixed coupon-bearing bond prices. It meets the next no-arbitrage condition: the rates of return on zero-coupon and coupon bonds with the same maturities should be equal....

In this paper, using a conception of continuous coupon bond with continuous accrual of coupons on simple fixed rate for pricing a risky zero-coupon bond is considered. It is shown that only employing this conception allows obtaining explicit equation for price of risky zero-coupon bond from...

In this paper, to estimate a credit risk spread the interest losses are proposed to recognize immediately after default of a loan, i.e. to stop accrual of interests on defaulted loan. While a common approach supposes the recognition of interest losses on the defaulted loan only at maturity and,...

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...