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Modeling Non-maturing Savings Volumes

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  • Paraschiv, Florentina

Abstract

In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncertainty 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.

Suggested Citation

  • Paraschiv, Florentina, 2012. "Modeling Non-maturing Savings Volumes," Working Papers on Finance 1218, University of St. Gallen, School of Finance.
    • Handle: RePEc:usg:sfwpfi:2012:18
    as

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    File URL: http://ux-tauri.unisg.ch/RePEc/usg/sfwpfi/WPF-1218.pdf
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    References listed on IDEAS

    as
    1. Stefan Bergheim, 2008. "Long-Run Growth Forecasting," Springer Books, Springer, number 978-3-540-77680-2, December.
    2. Jarrow, Robert A. & van Deventer, Donald R., 1998. "The arbitrage-free valuation and hedging of demand deposits and credit card loans," Journal of Banking & Finance, Elsevier, vol. 22(3), pages 249-272, March.
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    More about this item

    Keywords

    non-maturing savings accounts; savings volumes; market rates macroeconomic; factors regression analysis VAR.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G2 - Financial Economics - - Financial Institutions and Services

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