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Modeling Client Rate and Volumes of Non-maturing Savings Accounts von Florentina Paraschiv (2011, Taschenbuch)
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Titel: Modeling Client Rate and Volumes of Non-maturing Savings Accounts (Bank- und finanzwirtschaftliche Forschungen), Einband: Taschenbuch, Autor: Florentina Paraschiv, Verlag: Haupt Verlag, Sprache: Englisch, Seiten: 140, Maße: 224x154x10, Gewicht: 245 g, Verkäufer: buch-vertrieb, Schlagworte: Bankbilanz, Betriebswirtschaft, Hypotheken.
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Produktinformation
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.Produktkennzeichnungen
EAN9783258077062
ISBN9783258077062, 3258077061
eBay Product ID (ePID)162171015
Produkt Hauptmerkmale
VerlagHaupt Verlag Ag
Erscheinungsjahr2011
AutorFlorentina Paraschiv
FormatTaschenbuch
Maße
Gewicht245 g
Zusätzliche Produkteigenschaften
SprachausgabeEnglisch
Seiten124 Seiten
Ausgabe1. Auflage 2011
