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Modeling non-maturing savings volumes
Journal
Economics and Finance Review
ISSN
2047-0401
Type
journal article
Date Issued
2012-07-02
Author(s)
Abstract
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 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.
Language
English
Keywords
non-maturing savings accounts
savings volumes
market rates macroeconomic
factors regression analysis VAR
HSG Classification
not classified
Refereed
Yes
Publisher
Global Research Society GRS
Publisher place
Essex, Ilford
Volume
2
Number
5
Start page
100
End page
105
Pages
6
Subject(s)
Division(s)
Eprints ID
218621