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 transfer pricing, and risk modeling.
Mastering R for Quantitative Finance
Mastering R for Quantitative Finance
Overview of this book
Table of Contents (20 chapters)
Mastering R for Quantitative Finance
Credits
About the Authors
About the Reviewers
www.PacktPub.com
Preface
Free Chapter
Time Series Analysis
Factor Models
Forecasting Volume
Big Data – Advanced Analytics
FX Derivatives
Interest Rate Derivatives and Models
Exotic Options
Optimal Hedging
Fundamental Analysis
Technical Analysis, Neural Networks, and Logoptimal Portfolios
Asset and Liability Management
Capital Adequacy
Systemic Risks
Index
Customer Reviews