Modeling non-maturing savings volumes

Item Type Journal paper
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.

Authors Paraschiv, Florentina
Journal or Publication Title Economics and Finance Review
Language English
Keywords non-maturing savings accounts, savings volumes, market rates macroeconomic, factors regression analysis VAR
Subjects economics
HSG Classification not classified
Refereed Yes
Date 2 July 2012
Publisher Global Research Society GRS
Place of Publication Essex, Ilford
Volume 2
Number 5
Page Range 100-105
Number of Pages 6
ISSN 2047-0401
Official URL http://www.businessjournalz.org/articlepdf/EFR_251...
Depositing User Prof. Dr. Florentina Paraschiv
Date Deposited 11 Dec 2012 10:07
Last Modified 23 Aug 2016 11:15
URI: https://www.alexandria.unisg.ch/publications/218621

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Citation

Paraschiv, Florentina (2012) Modeling non-maturing savings volumes. Economics and Finance Review, 2 (5). 100-105. ISSN 2047-0401

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https://www.alexandria.unisg.ch/id/eprint/218621
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