TheDecompositionofImpliedOptionsfromLiabilitiesandAssetsofBanks幻灯片.pptVIP

1 应用：The Decomposition of Implied Options from Liabilities and Assets of Banks The traditional saving-loan interest rate spread is just the spread between the loan rate and saving rate. The basic asset and liability of bank includes some options which are sent to the customers for free by the bank. Then the real interest rate spread is not just the saving-loan rate spread, the options cost should be also considered. 2 The Decomposition of Implied Options from Liabilities and Assets of Banks 一般定期存款都可以提前支取，支取的利率按照新的活期存款利率。因此，对于存款人来说，最直接的利益就是他的最低收益获得了保证：如果提前支取后按照新利率存款所获得的收益超过维持这个定期存款，他就可以提前支取并转