Asset and liability management elements: Management of interest rate margin risk on demand deposits.

Summary The summary of this thesis and to evoke the various missions of the banking ALM as well as the financial risks which it takes in charge and recalled certain points of regulation, we propose to be interested in a subject rather characteristic of the questions raised by the trade of ALM, namely the management of the interest rate risk on the sight deposits within the framework of their remunerations. Let us recall that in a balance sheet, we distinguish between the Banking Book, a part devoted to the balance sheet of resources and uses linked to customers, i.e. the operational sphere. In fact, like many other departments of a bank, ALM has a return objective within certain risk limits. The stakes are relatively high for financial institutions. For example, retail banking has long been a stable and sustainable source of revenue for institutions, and the market attaches great importance to their ability to maintain this characteristic. On the other hand, items such as customer deposits constitute liquidity resources available at lower costs and this is not a point to be neglected in the particularly tense context since the 2008 crisis. Risk management is determined by the interest rate margins linked to a bank's sight deposits, the so-called Interest Rate Margin. This is defined as the difference between the market rate and the deposit rate to which a certain amount of deposits is multiplied. We assume that demand deposits are linked to both interest rates and commercial risk, which cannot be fully hedged in the financial markets. The dynamics of forward market rates follow a standard market model and take into account a certain risk premium associated with investing in long-term assets. Deposit rates in the US zone are determined by the M2 own rate, which is why the Fed is interested in the M2 own rate, which is calculated as the average rate of M2 resources weighted by the outstanding amounts. In the case of the Eurozone, this is referred to as the deposit rate or remuneration rate. The remuneration rates depend on the market rates and in particular the 3-month Euribor rates. We note in particular that when market rates are low, so are deposit rates. Deposit or remuneration rates are linked to market rates in a linear (or non-linear) fashion. We take the perspective of an asset-liability manager who focuses on the bank's net operating income in a given quarter under standard accounting rules, confronted with market incompleteness and dealing with interest rate derivatives, we distinguish between two types of hedging strategies: hedging in the quadratic sense, and hedging in the quantile and expected shortfall sense. For these two types of strategy, we consider two levels of information: one relating only to interest rate information and the other also including the current amount of demand deposits.