Zobacz książki o podobnej tematyce

Powiadomienie o dostępności

Więcej informacji o Modeling Client Rate and Volumes of Non-maturing Savings Accounts

• Dane szczegółowe
• Opis
• Ulubione w innej kategorii

Opis

Retail Banks usually apply OLS-based approaches for modeling the dynamics of the client rate of non-maturing accounts like savings deposits. OLS-based client rate models take into account neither the rigidity nor the ­asymmetry the banks follow when they adjust their client rates to changes in the observed market rates. This is insofar surprising, as the asymmetric client rate adjustment forms the basis for pricing the embedded options of ­non-maturing accounts. In this work we ­contribute to the elimination of these inconsistencies, by creating unifying models which reflect in a realistic way the main characteristics of the client rate. We also offer a comprehensive ­analysis of the Swiss savings volumes given the dynamics of relevant macroeconomic ­factors. Our tested models offer a complementary comprehensive view over the dynamics of the NMA client rate and volumes, which is of major importance for managing and measuring the liquidity risk associated to the NMA.

Szczegóły książki

• Pełny tytuł: Modeling Client Rate and Volumes of Non-maturing Savings Accounts
• Autor: Florentina Paraschiv
• Język: Angielski
• Oprawa: Miękka
• EAN: 9783258077062
• ISBN: 3258077061
• ID: 12578811
• Wydawca: Haupt Verlag AG
• Waga: 251 g
• Wymiary: 225 × 154 × 13 mm
• Data wydania: October 2011

---

---

---