Essays about: "Non-maturing liabilities"
Found 3 essays containing the words Non-maturing liabilities.
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1. Forecasting Non-Maturing Liabilities
University essay from KTH/Matematisk statistikAbstract : With ever increasing regulatory pressure financial institutions are required to carefully monitor their liquidity risk. This Master thesis focuses on asserting the appropriateness of time series models for forecasting deposit volumes by using data from one undisclosed financial institution. READ MORE
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2. A framework for modeling the liquidity and interest rate risk of demand deposits
University essay from KTH/Matematisk statistikAbstract : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. READ MORE
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3. Modeling non-maturing liabilities
University essay from KTH/Matematik (Inst.)Abstract : Non‐maturing liabilities, such as savings accounts, lack both predetermined maturity and reset dates due to the fact that the depositor is free to withdraw funds at any time and that the depository institution is free to change the rate. These attributes complicate the risk management of such products and no standardized solution exists. READ MORE