Publication detail

Duration of Demand Deposits in Theory

Author(s): Mgr. Hana Džmuráňová ,
prof. PhDr. Petr Teplý Ph.D.,
Type: Article in collection
Year: 2015
Number: 25
ISSN / ISBN:
Published in: Procedia Economics and Finance 25 (2015) 278 – 284
Publishing place: http://authors.elsevier.com/sd/article/S2212567115007388
Keywords: non-maturing accounts; demand deposits; duration; ALM; interest rate risk
JEL codes:
Suggested Citation:
Grants: GAUK 165215: Risk management of demand deposits
Abstract: 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.

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance