Sökning: "Valuation of demand deposits"
Hittade 2 uppsatser innehållade orden Valuation of demand deposits.
- Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
Sammanfattning : 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
- Master-uppsats, KTH/Entreprenörskap och Innovation; KTH/Entreprenörskap och Innovation
Sammanfattning : 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
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