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Modelling of Non-Maturity Deposits / Modellering av icke tidsbunden inlåning

Ever since the financial crisis in 2008 non-maturity deposits (NMDs) have had a floored deposit rate at zero. Now due to external factors some speculate that the market rate will increase. Regulations say that NMDs core deposits, which are used for further investments, must remove their rate sensitive part. In this work, high interest scenarios has been made to investigate the core deposits using an extended Vasicek model calibrated on the forward rate. Deposit rate models have been made using different regression techniques, mainly using linear models and a threshold regression model. We found that using a moving average on 21 days on Stibor 1M as a predicting variable yielded the best models. The models slope was then used to calculate the deposit rate on the given scenarioto calculate when the accounts will become rate sensitive again. At the end of the scenario, the deposits was found to decrease with 20%, 76% and 49% for the transaction-, savings account and the combined core deposits respectively using the median scenario. In order to regulate the decrease of the core deposits onecan use different rate sensitives similarly to the threshold model.

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:umu-198685
Date January 2022
CreatorsLundgren, Filip
PublisherUmeå universitet, Institutionen för fysik
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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