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Modeling deposit prices
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Thisreport investigates whether there are sufficient differences between a bank'sdepositors to motivate price discrimination. This is done by looking at timeseries of individual depositors to try to find predictors by a regressionanalysis. To be able to conclude on the value of more stable deposits for thebank and hence deduce a price, one also needs to look at regulatory aspects ofdeposits and different depositors. Once these qualities of a deposit have beenassigned by both the bank and regulator, they need to be transformed into aprice. This is done by replicationwith market funding instruments.

Abstract [sv]

Denna studie syftar till att kartlägga eventuella skillnader mellan insättare i en bank för att kunna avgöra om dessa skillnader motiverar olika räntor. Genom att analysera tidsserier av insatta belopp och göra en regressionsanalys fastställs eventuella skillnader. Bankinsättningar påverkas även i hög grad av olika regleringar varför även effekterna av dessa ingår i studien.  För att kunna få fram ett värde på insättningarna replikeras sedan dessa under givna kriterier med olika skuldinstrument.

Place, publisher, year, edition, pages
2013. , 30 p.
TRITA-MAT-E, 2013:20
National Category
Probability Theory and Statistics
URN: urn:nbn:se:kth:diva-122306OAI: diva2:622286
Subject / course
Mathematical Statistics
Educational program
Master of Science in Engineering -Engineering Physics
Physics, Chemistry, Mathematics
Available from: 2013-05-21 Created: 2013-05-17 Last updated: 2013-05-21Bibliographically approved

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