Essays about: "ARIMAX-modellen"

Found 2 essays containing the word ARIMAX-modellen.

  1. 1. Modelling Non-Maturing Deposits: Examining the Impact of Repo Rates and Volume Dynamics on Valuation Using Regression, Time Series Analysis, and Vasicek Methods

    University essay from KTH/Matematik (Avd.)

    Author : Alexandra Benckert; My Loft; [2023]
    Keywords : Non-maturing deposits; ARIMAX model; Regression analysis; Deposit volume modelling; Vasicek model for short rate; Interest rate sensitivity; Valuation of non-maturing deposits.; Icke tidsbunden inlåning; ARIMAX-modellen; Regressionsanalys; Modellering av inlåningsvolym; Vasicek-modellen för kort ränta; Räntekänslighet; Värdering av icke tidsbunden inlåning.;

    Abstract : This thesis focuses on modelling non-maturing deposits (NMD) and has been written in collaboration with Svenska Handelsbanken. The methodology includes regression analysis and time series analysis, with the Repo rate serving as an exogenous variable in both models. READ MORE

  3. 2. Forecasting Non-Maturing Liabilities

    University essay from KTH/Matematisk statistik

    Author : Adrian Ahmadi-Djam; Sean Belfrage Nordström; [2017]
    Keywords : ;

    Abstract : 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