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Master thesis . 2022

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Nõudmiseni hoiuse intressimääradele ARIMAX tüüpi mudelite leidmine turumäärade abil

Name: Nõudmiseni hoiuse intressimääradele ARIMAX tüüpi mudelite leidmine turumäärade abil
Creator: Tammesoo, Laura Anna
Keywords: deposit interests, finantsmatemaatika, financial mathematics, hoiuse intressid, time series analysis, ARIMAX models, aegridade analüüs, ARIMAX tüüpi mudelid

descriptionPublicationkeyboard_double_arrow_right Master thesis 01 Jan 2022 Estonia Estonian

Authors: Tammesoo, Laura Anna;

Nõudmiseni hoiuse intressimääradele ARIMAX tüüpi mudelite leidmine turumäärade abil

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Abstract

Töö eesmärk on uurida nõudmiseni hoiusele pakutavate intresside sõltumist 6-kuulisest euriborist ja 6-kuulise euribori swap’i määrast. Selleks uuritakse ARIMAX tüüpi mudelite moodustamist ja kointegratsiooni hoiuse intresside ja turumäärade vahel. Lisaks moodustatakse mudelid naturaallogaritmi ja hüperboolse siinuse pöördfunktsiooni abil transformeeritud aegridadele. Töö on motiveeritud krediidiasutuste vajadusest intressiriski hinnata, kus intressirisk on ettevõtte risk saada kahju intressimäärade muutumisest. Hoiuse intresside prognoosimine turumäärade abil on oluline sisend intressiriski hindamise protsessi.

Country

Estonia

Related Organizations

University of Tartu
Estonia

Keywords

deposit interests, finantsmatemaatika, financial mathematics, hoiuse intressid, time series analysis, ARIMAX models, aegridade analüüs, ARIMAX tüüpi mudelid

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