Modeling Non-maturing Savings Volumes

In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncertainty due to optionality. Focusing on Swiss savings accounts, we identify their seasonal pattern and we derive their sensitivity to market rates and to relevant macroeconomic factors. We derive a realistic volumes model, that allows for cash-flow forecasting, which is essential for liquidity management in banks.

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Year of publication:	2012-07
Authors:	Paraschiv, Florentina
Institutions:	School of Finance, Universität St. Gallen
Subject:	non-maturing savings accounts \| savings volumes \| market rates macroeconomic \| factors regression analysis VAR

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Extent:	application/pdf
Series:	Working Papers on Finance.
Type of publication:	Book / Working Paper
Notes:	Number 1218 6 pages
Classification:	C13 - Estimation ; E4 - Money and Interest Rates ; G2 - Financial Institutions and Services
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010687538