Journal of Banking & Finance Vol. 31 No. 2 2007
A computational approach to the optimal structure of bank input prices
Abstract
Most bank deposits contain an embedded option which permits the depositor to withdraw funds at will. Demand deposits generally allow costless withdrawal, while time deposits often require payment of an early withdrawal penalty. Managing the risk that depositors will exercise their withdrawal option is an important aspect of input pricing. This paper acknowledges the threat of deposit withdrawal and then solves for the optimal structure of bank deposit rates.
- DOI
- 10.1016/j.jbankfin.2006.06.015
- Volume
- 31
- Issue
- 2
- Pages
- 439-453
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib