Non-Maturity Deposit Modeling in the Framework of Asset Liability Management
Saâd Benbachir and
Mohammed Mehdi El Hamzi
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Saâd Benbachir: Faculty of Juridical, Economical and Social Sciences, Agdal University of Mohamed 5, Avenue des Nations-Unies, B.P. 721, Agdal – Rabat, Morocco
Mohammed Mehdi El Hamzi: Faculty of Juridical, Economical and Social Sciences, AgdalUniversity of Mohamed 5, Avenue des Nations, Agdal – Rabat, Morocco
International Journal of Economics and Financial Research, 2016, vol. 2, issue 5, 79-98
Abstract:
Liquidity risk is one of the major risks inherent in the banking business. It occurs when the bank does not have sufficient liquid assets to meet its commitments at the time of their occurrence. The most critical challenges confronting financial institutions when managing liquidity risk is so-called non-maturity accounts. These accounts are characterized by the fact that they have no specific contractual maturity, and their risk management is complicated by the embedded options that depositors may exercise. As part of an asset-liability management and for the purpose of healthy and prudential management of a liquidity risk, each bank must properly assess the deposits of its customers. Liquidity risk is not the risk that there are massive withdrawals, but the risk they are unanticipated. In this paper, we apply two methods to model non-maturity deposits of a Moroccan commercial bank. Â We treat separately individual deposits and enterprise deposits aiming an accurate analysis. We then select between the models by means of a selection criteria. Furthermore, we back-test and forecast future deposits using the selected model. Finally, we model the decay rates of non-maturity deposits by elaborating a flowing function of these latter.
Keywords: Non-maturity deposit; liquidity risk; Asset liability management; ARMA; Jarrow-Van Deventer model. (search for similar items in EconPapers)
JEL-codes: C50 C51 C52 C58 G20 G21 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:arp:ijefrr:2016:p:79-98
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