Tid: 29 maj 2017 kl 10.15-11.00.Seminarierummet 3418, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 4. Karta!
Föredragshållare: Andreas Kördel
Titel: Modeling deposit rates of non-maturity deposits (Master's thesis)
Abstract The modeling of non-maturity deposits is a topic that is highly important to many banks because of the large amount of funding that comes from these products. It is also a topic that currently is in the focus of legislators. Although a non-maturity deposit may seem to be a trivial product, it has several characteristics that make it rather complex. One of the two purposes of this thesis is to compare different models for the deposit rate of non-maturity deposits and to investigate the strengths and weaknesses of the models. The other purpose is to find a new model for the deposit rate of non-maturity deposits. Several different models that are suggested in the literature are described and evaluated based on the four aspects; goodness of fit, stability, negative interest rate environment and simplicity. Three new models for the deposit rate are suggested in this thesis, one of which shows a very good performance compared to the models that can be found in the literature.
|Sidansvarig: Filip Lindskog