Modeling Deposit Rates of Non-Maturity Deposits

Sammanfattning: The modeling of non-maturity deposits is a topic that is highlyimportant to many banks because of the large amount of funding that comes fromthese products. It is also a topic that currently is in the focus oflegislators. Although a non-maturity deposit may seem to be a trivial product,it has several characteristics that make it rather complex. One of the twopurposes of this thesis is to compare different models for the deposit rate ofnon-maturity deposits and to investigate the strengths and weaknesses of themodels. The other purpose is to find a new model for the deposit rate ofnon-maturity deposits. Several different models that are suggested in the literatureare described and evaluated based on the four aspects; goodness of fit,stability, negative interest rate environment and simplicity. Three new modelsfor the deposit rate are suggested in this thesis, one of which shows a verygood performance compared to the models that can be found in the literature.