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On Application of Physical Models in Banking Risk Estimation: Valuing the Demand Deposits

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Поле Співвідношення
 
Title On Application of Physical Models in Banking Risk Estimation: Valuing the Demand Deposits
 
Creator Krasnikova, Larysa
Bielenka, Ganna
Краснікова, Лариса
Бєленька, Ганна
 
Subject banking risks
demand deposits
core deposits
relaxation
anelastic model
 
Description Abstract. The paper presents a review of existing approaches to valuation of
demand deposits. Special attention is paid to the approach for demand
deposits valuation, which is based on relaxation phenomenon. Such
phenomenon may be observed in magnetic, ferromagnetic and ferroelectric
materials, as well as in the elastic, electric, and magnetic behavior of
materials, and is defined as a delay or lag in the response of a linear system,
measured relative to the expected linear steady state (equilibrium) values.
The bank rate-setting mechanism for demand deposits is found to resemble
closely the anelastic relaxations.
The proposed framework may be applied in the course of risk assessment
and management in commercial banks, as well as for banking regulatory
policy development by supervisory authorities.
 
Date 2011-12-06T12:03:03Z
2011-12-06T12:03:03Z
2010
 
Type Conference materials
 
Identifier Krasnikova L. On Application of Physical Models in Banking Risk Estimation: Valuing the Demand Deposits / Larysa Krasnikova and Ganna Bielenka // ENEC 2010 : Proceedings of International Conference on Econophysics, New Economy and Complexity, 20-22 May, Bucharest, Romania. – 2010. – P. 39–46.
http://www.ekmair.ukma.edu.ua/handle/123456789/1243
 
Language en
 
Relation ENEC 2010 : Proceedings of International Conference on Econophysics, New Economy and Complexity, 20-22 May, Bucharest, Romania.