Avancerad sökning

Hittade 3 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Modeling of non-maturing deposits

    Master-uppsats, KTH/Matematisk statistik

    Författare :Fredrik Stavrén; Nikita Domin; [2019]
    Nyckelord :Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

    Sammanfattning : 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

  3. 2. A framework for modeling the liquidity and interest rate risk of demand deposits

    Master-uppsats, KTH/Matematisk statistik

    Författare :Peter Henningsson; Christina Skoglund; [2016]
    Nyckelord :Non-maturing liabilities; Liquidity risk; Interest rate risk; Vasicek short rate model; Deposit volume modeling; Deposit rate modeling; Valuation of demand deposits;

    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

  4. 3. Demand Deposits : Valuation and Interest Rate Risk Management

    Master-uppsats, KTH/Entreprenörskap och Innovation

    Författare :Yang Lu; Kevin Visvanathar; [2015]
    Nyckelord :demand deposits; interest rate risk; market interest rate; stochastic simulation; avistakonton; ranterisk; marknadsranta; stokastisk simulering; nuvarde; replikerande;

    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