Sökning: "Valuation of non-maturing deposits."

Hittade 2 uppsatser innehållade orden Valuation of non-maturing deposits..

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

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Alexandra Benckert; My Loft; [2023]
   Nyckelord :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.;

   Sammanfattning : 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. 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