Non-Maturity Deposit Modeling in the Framework of Asset Liability Management
Journal: International Journal of Economics and Financial Research (Vol.2, No. 5)Publication Date: 2016-05-15
Authors : Saâd Benbachir; Mohammed Mehdi El Hamzi;
Page : 79-98
Keywords : Non-maturity deposit; liquidity risk; Asset liability management; ARMA; Jarrow-Van Deventer model.;
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. 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.
Other Latest Articles
- Transformational Leadership and Organizational Performance: The Mediating Role of Organizational Innovation
- Increasing Trend of Mergers and its Impact on the Bottom Line: Evidence from Pakistan’s Banking Sector
- Bank Credits to Agricultural and Manufacturing sectors and Economic Growth in Nigeria, 1970 ? 2013
- Loans Default and Return on Assets (Roa) In the Nigerian Banking System
- Impact of Corporate Social Responsibility on Job Attitudes: Job Satisfaction and Organizational Commitment of Banking Sector Employees of Pakistan
Last modified: 2018-11-06 16:22:15