Modeling of interbank call loan rates with jump diffusion

• Main Author: Mariano, Redentor S.
• Format: text
• Language: English
• Published: Animo Repository 2004
• Subjects: Banks and banking; Mathematical models; Bank loans; Business Administration, Management, and Operations
• Online Access: https://animorepository.dlsu.edu.ph/etd_doctoral/95; https://animorepository.dlsu.edu.ph/context/etd_doctoral/article/1094/viewcontent/TG03933_F_Partial.pdf
• Institution: De La Salle University

The present study provides a model for interbank call loan rates (IBCLR) through jump diffusion modeling and link jumps with monetary interventions. Modeling the changes in IBCLR involves the evaluation of three sets of models: pure diffusion models, jump diffusion models, and other modeling approac...