I present an analytical valuation framework for the management of fixed-income instruments traded in imperfectly competitive markets, like demand deposits and credit card loans in the banking book, inter alia, to stabilize the abnormal profit margin. Banking book instruments contain embedded options such as withdrawal rights, discretionary pricing, rate clustering and zero-based floors. Analytical solutions speed up computation time to calculate valuations, earnings and risk measures like closed-form expressions for margin spreads, hedge ratios and parameter sensitivities. Asymptotically, according to martingale central limit theorems and thanks to the long-term nature of the banking book, Gaussian approximations can be applied.

我提出了一个分析性估值框架，用于管理在不完全竞争的市场中交易的固定收益工具，例如稳定银行账户中的活期存款和信用卡贷款等，以稳定异常的利润率。银行账簿工具包含嵌入式选项，例如提款权，酌情定价，费率集群和从零开始的下限。分析解决方案加快了计算时间，以计算估值，收益和风险度量，例如用于保证金利差，对冲比率和参数敏感性的封闭式表达式。根据mar中心极限定理，由于银行账簿的长期性，可以渐近地采用高斯近似。