FAIR VALUE AND INTEREST RATE RISK OF DEMAND DEPOSITS

• Authors: Strnad Petr
• Languages of publication: EN

Abstracts

EN

Demand deposits play an important role for commercial banks as they represent relatively reliable funding base as well as a source of income (they are remunerated below market rates, sometimes even at zero rates). At the same time, demand deposits are also responsible for significant part of volatility of profit and loss (P&L) – both economic and accounting. This paper demonstrates how the interest rate risk of demand deposits may be assessed and hedged under earnings perspective and economic value perspective and discusses whether these approaches are consistent with low volatility of accounting P&L.

Keywords

EN

DEMAND DEPOSITS; INTEREST RATE RISK; PORTFOLIO MODELS; STOCHASTIC MODELS; HEDGE ACCOUNTING; PROFIT

• Publisher: Institute of Slovak and World Economics and Institute for Forecasting, Slovak Academy of Sciences
• Journal: Ekonomický časopis (Journal of Economics)
• Year: 2009
• Volume: 57
• Issue: 7
• Pages: 682 – 699

Contributors

author

Strnad Petr

• Modrá pyramida stavební sporiřelna, a. s., Belehradská 128/222, 120 21 Praha 2, Czech Republic