publication . Bachelor thesis . 2011

Modeling non-maturing liabilities

von Feilitzen, Helena;
Open Access English
  • Published: 01 Jan 2011
  • Publisher: KTH, Matematik (Inst.)
  • Country: Sweden
Abstract
Non‐maturing liabilities, such as savings accounts, lack both predetermined maturity and reset dates due to the fact that the depositor is free to withdraw funds at any time and that the depository institution is free to change the rate. These attributes complicate the risk management of such products and no standardized solution exists. The problem is important however since non‐maturing liabilities typically make up a considerable part of the funding of a bank. In this report different modeling approaches to the risk management are described and a method for managing the interest rate risk is implemented. It is a replicating portfolio approach used to approxim...
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Medical Subject Headings: education
free text keywords: DIVA, publicering, examensarbete, uppsats
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Chapter 2 

Theoretical Background                                                                                                                  13  2.1  Overview of Methods and Models .......................................................................... 13  2.2  Replicating Portfolio Models ................................................................................... 14  2.2.1  Replicating Portfolio of Maes and Timmermans (2005) ................................. 15  2.2.2  Replicating Portfolio of Bardenhewer (2007) ................................................. 17  2.3  OAS Models ............................................................................................................. 19  2.4  Related Literature ................................................................................................... 20  Chapter 3 

Risk Management at the Bank                                                                                                    23  Chapter 4 

Analysis of the Data                                                                                                                         25  4.1  Description of the Data ........................................................................................... 25  4.2  Analysis of the Data ................................................................................................. 26  4.2.1  Relations Between Interest Rates ................................................................... 26  4.2.2  Deposit Volume vs. Interest Rates .................................................................. 29 

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