Modeling Non-maturing Savings Volumes

Florentina Paraschiv

No 1218, Working Papers on Finance from University of St. Gallen, School of Finance

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.

Keywords: non-maturing savings accounts; savings volumes; market rates macroeconomic; factors regression analysis VAR. (search for similar items in EconPapers)
JEL-codes: C13 E4 G2 (search for similar items in EconPapers)
Pages: 6 pages
Date: 2012-07
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Persistent link: https://EconPapers.repec.org/RePEc:usg:sfwpfi:2012:18

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