Modeling of non-maturing deposits

Modeling of non-maturing deposits

The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. In this thesis someof the topics w...

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Bibliographic Details
Main Authors: Stavrén, Fredrik, Domin, Nikita
Format: Others
Language:English
Published: KTH, Matematisk statistik 2019
Subjects:
Financial mathematics
time series analysis
replicating portfolio
risk management
risk analysis
econometric anaylsis
non-maturing deposits
SARIMA
Random forest regression
EBA
BCBS
Finansiell matematik
tidsserieanalys
replikeringsportfölj
riskhantering
riskanalys
Ekonometrisk analys
Icke-tidsbunden inlåning
ARIMA
SARIMAX
Random Forest Regression
Probability Theory and Statistics
Sannolikhetsteori och statistik
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252302

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252302

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