Detail publikace

Duration of Demand Deposits in Theory

Autor: Mgr. Hana Džmuráňová ,
prof. PhDr. Petr Teplý Ph.D.,
Typ: Články ve sborníku
Rok: 2015
Číslo: 25
ISSN / ISBN:
Publikováno v: Procedia Economics and Finance 25 (2015) 278 – 284
Místo vydání: http://authors.elsevier.com/sd/article/S2212567115007388
Klíčová slova: non-maturing accounts; demand deposits; duration; ALM; interest rate risk
JEL kódy:
Citace:
Granty: GAUK 165215: Risk management of demand deposits
Abstrakt: This paper deals theoretically the estimation of duration of demand deposits that are defined as non-maturing products without any defined liquidity and interest rate behaviour by a contract as maturing products. Due to this fact, banks estimate liquidity and interest rate characteristics including duration of demand deposits by their internal models. We also describe the procedure called “replicating portfolios” than can be used to estimate duration of demand deposits.
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