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Non‐maturing deposits modelling in a Ornstein‐Uhlenbeck framework.
- Source :
- Applied Stochastic Models in Business & Industry; Jul2023, Vol. 39 Issue 4, p536-548, 13p
- Publication Year :
- 2023
-
Abstract
- This paper builds a multivariate Lévy‐driven Ornstein‐Uhlenbeck process for the management of non‐maturing deposits, that are a major source of funding for banks. The contribution of the paper is both theoretical and operational. On the theoretical side, the novelty of this model is to include three independent sources of randomness in a Lévy framework: market interest rates, deposit rates and deposit volumes. The choice of a Lévy background driving process allows us to model rare but severe events. On the operational side, we propose a procedure to include severe volume outflows with positive probability in future scenarios simulation, explaining its implementation with an illustrative example using Italian banking sector data. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 15241904
- Volume :
- 39
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Applied Stochastic Models in Business & Industry
- Publication Type :
- Academic Journal
- Accession number :
- 169771383
- Full Text :
- https://doi.org/10.1002/asmb.2766