Оптимизация временной структуры процентных ставок в коммерческих банках

Abstract

This paper offers a micro-level approach to determining the term structure of interest rates for fixed-income securities. To this end, the author casts an individual investor’s decisionmaking problem with regard to selection of investment with different maturities into von Neumann–Morgenstern expected utility framework. The proposed model explains a positive slope of the yield curve even in the absence of the short-term interest rate uncertainty. Aggregating upon decisions of individual investors yields market demand curves for instruments of different maturities. This allows to determine the profit-maximizing term structure of interest rates from the issuer’s perspective.