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- W3122173629 abstract "Variable rate savings accounts have two main features. The interest rate paid on the account is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and withdrawals of balances are often performed with a delay. This paper focuses on measuring the interest rate risk of variable rate savings accounts on a value basis (duration) and analyzes the problem how to hedge these accounts. In order to model the embedded options and the customer behaviour we implement a partial adjustment specification. The interest rate policy of the bank is described in an error-correction model." @default.
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- W3122173629 date "2003-11-01" @default.
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- W3122173629 title "The Valuation and Hedging of Variable Rate Savings Accounts" @default.
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- W3122173629 doi "https://doi.org/10.2143/ast.33.2.503699" @default.
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