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  • Search: subject:"factors regression analysis VAR"
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Subject
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Savings 1 Sparen 1 Theorie 1 Theory 1 VAR model 1 VAR-Modell 1 factors regression analysis VAR 1 market rates macroeconomic 1 non-maturing savings accounts 1 savings volumes 1
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Free 1
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Book / Working Paper 1
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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English 1
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Paraschiv, Florentina 1
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Working papers on finance 1
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ECONIS (ZBW) 1
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Modeling non-maturing savings volumes
Paraschiv, Florentina - 2012
In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncer- tainty due to optionality. Focusing on Swiss savings accounts, we identify their seasonal pattern and we derive their sensitivity to market rates...
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