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Modeling non-maturing savings volumes

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.
   
type journal paper
   
keywords non-maturing savings accounts, savings volumes, market rates macroeconomic, factors regression analysis VAR
   
language English
kind of paper journal article
date of appearance 2-7-2012
journal Economics and Finance Review
publisher Global Research Society GRS (Essex, Ilford)
ISSN 2047-0401
volume of journal 2
number of issue 05/2012
page(s) 100-105
review blind review
   
citation Paraschiv, F. (2012). Modeling non-maturing savings volumes. Economics and Finance Review, 2(05/2012), 100-105.