IDEAS home Printed from https://ideas.repec.org/a/arp/ijefrr/2016p79-98.html
   My bibliography  Save this article

Non-Maturity Deposit Modeling in the Framework of Asset Liability Management

Author

Listed:
  • Saâd Benbachir

    (Faculty of Juridical, Economical and Social Sciences, Agdal University of Mohamed 5, Avenue des Nations-Unies, B.P. 721, Agdal – Rabat, Morocco)

  • Mohammed Mehdi El Hamzi

    (Faculty of Juridical, Economical and Social Sciences, AgdalUniversity of Mohamed 5, Avenue des Nations, Agdal – Rabat, Morocco)

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. Â 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.

Suggested Citation

  • Saâd Benbachir & Mohammed Mehdi El Hamzi, 2016. "Non-Maturity Deposit Modeling in the Framework of Asset Liability Management," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 2(5), pages 79-98, 05-2016.
    • Handle: RePEc:arp:ijefrr:2016:p:79-98
    as

    Download full text from publisher

    File URL: http://www.arpgweb.com/pdf-files/ijefr2(5)79-98.pdf
    Download Restriction: no
    File URL: http://www.arpgweb.com/?ic=journal&journal=5&month=05-2016&issue=5&volume=2
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sofia Costa & Marta Faias & Pedro Júdice & Pedro Mota, 2021. "Panel data modeling of bank deposits," Annals of Finance, Springer, vol. 17(2), pages 247-264, June.

    More about this item

    Keywords

    Non-maturity deposit; liquidity risk; Asset liability management; ARMA; Jarrow-Van Deventer model.;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arp:ijefrr:2016:p:79-98. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Managing Editor (email available below). General contact details of provider: http://www.arpgweb.com/?ic=journal&journal=5&info=aims .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.