In order to determine the term structure of liquidity for demand deposits one
has to create a model for the deposit balance. The approach we propose here is
in the spirit of the techniques as described in the sections above. In order to
estimate the proportion of the demand deposits that can be used over given time
horizons, one has to answer questions like: ‘What is the lowest possible balance
in the next K days with a p% probability?’ One way to attack the problem is to
calculate the p quantiles of the distribution of the K day balance returns. An
alternative consists of looking for the minimal balance in the last K days. The
minimum of this balance and the actual balance can then be lent out for K days
This method has the advantage of being applicable also to balance sheet items
which are uncorrelated to interest rate changes but it has the same weaknesses
as all historic simulations. These weaknesses are very well known for the
estimation of volatility or the calculation VaR and can be summed up by the wise
saying that: ‘The past is not the future.’ 471
Hiç yorum yok:
Yorum Gönder