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R: Data Analysis and Visualization by Ágnes Vidovics-Dancs, Kata Váradi, Tamás Vadász, Ágnes Tuza, Balázs Árpád Szucs, Julia Molnár, Péter Medvegyev, Balázs Márkus, István Margitai, Péter Juhász, Dániel Havran, Gergely Gabler, Barbara Dömötör, Gergely Daróczi, Ádám Banai, Milán Badics, Ferenc Illés, Edina Berlinger, Bater Makhabel, Hrishi V. Mittal, Jaynal Abedin, Brett Lantz, Tony Fischetti

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Modeling non-maturity deposits

The importance of non-maturity deposits (NMD) in banking is substantially high as the large part of commercial banks' balance sheets consist of client products with non-contractual cash-flow features. Non-maturity deposits are special financial instruments as the bank has an option to change the paid interest on the deposit account at any time, and the client has the option to withdraw any amount from the account without a period of notice. The liquidity and interest rate risk management of these products are a crucial part of ALM analysis; therefore, modeling of non-maturity deposits needs special attention. The uncertain maturity and interest rate profile generates a high level of complexity in their hedging, internal ...

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