Mapping variable products according to the moving averages model – Challenges for mapping variable products in the low-interest phase

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Mapping variable products according to the moving averages model – Challenges for mapping variable products in the low-interest phase

Popis výsledku v původním jazyce

Variable liability products are an important products segment for savings banks and regional banks. Within the framework of maturity transformation, they can be used to leverage aernings potential. At the same time, the design of products poses a major challenge for bank management. On the one hand , liquidity risks result from the variable liability products used to refinnace long-term loans. On the other hand, the absence of fixed interest rates entails a latent interest rate risk. The moving averages model developed in the 1990s makes it possible to simulate dvelopments. On the basic of historical time series, conditions can be determined, which enable customer to obtain constant interest rates and institutions to achieve stable margins. In addition to purely historical analyses, forecast can also be made in addition to business policy necessities and market assessments. However, changing customer behaviour, increasingly aggressive competition an the politically inducend low-interest phase create imponderables that necessitate modifications to the moving averages model.

Název v anglickém jazyce

Mapping variable products according to the moving averages model – Challenges for mapping variable products in the low-interest phase

Popis výsledku anglicky

Variable liability products are an important products segment for savings banks and regional banks. Within the framework of maturity transformation, they can be used to leverage aernings potential. At the same time, the design of products poses a major challenge for bank management. On the one hand , liquidity risks result from the variable liability products used to refinnace long-term loans. On the other hand, the absence of fixed interest rates entails a latent interest rate risk. The moving averages model developed in the 1990s makes it possible to simulate dvelopments. On the basic of historical time series, conditions can be determined, which enable customer to obtain constant interest rates and institutions to achieve stable margins. In addition to purely historical analyses, forecast can also be made in addition to business policy necessities and market assessments. However, changing customer behaviour, increasingly aggressive competition an the politically inducend low-interest phase create imponderables that necessitate modifications to the moving averages model.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50204 - Business and management

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of IAC in Vienna 2019&quot;

ISBN

978-80-88203-14-8

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

194-201

Název nakladatele

Czech Institute of Academic Educationz.s

Místo vydání

Praha

Místo konání akce

Vienna

Datum konání akce

29. 11. 2019

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

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