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Risk adjusted pricing of bank’s assets based on cash flow matching matrix

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Figure

Figure 1. Density of probability of cash flows and cash flows at risk for i-th bucket (charted using results of Bessis, 1988)
Table 1. Example of the partially filled (after filling diagonal elements) funding matrix with 5x5 size,
Figure 2. A local balance of undiscounted cash flows from assets and liabilities belonging to i-th time
Figure 3. A local balance of incomes and expenses for i-th bucket for period of time mi
+3

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