Sökning: "Deposit volume modeling"
Hittade 3 uppsatser innehållade orden Deposit volume modeling.
1. Modeling of non-maturing deposits
Master-uppsats, KTH/Matematisk statistikSammanfattning : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. LÄS MER
2. A framework for modeling the liquidity and interest rate risk of demand deposits
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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. LÄS MER
3. Demand Deposits : Valuation and Interest Rate Risk Management
Master-uppsats, KTH/Entreprenörskap och InnovationSammanfattning : In the aftermath of the financial crisis of 2008, regulatory authorities have implemented stricter policies to ensure more prudent risk management practices among banks. Despite the growing importance of demand deposits for banks, no policies for how to adequately account for the inherent interest rate risk have been introduced. LÄS MER