Investment policy for non-maturity deposits in a corporate bank

Martin Dolejš

Master's thesis

Investiční politika pro depozita bez splatnosti v korporátní bance

Abstract:

Hlavním cílem diplomové práce je navržení investiční politiky pro depozita bez splatnosti v blíže nespecifikované bance na českém trhu. Investiční politika je zpracována na základě analýzy historického vývoje agregovaných depozit v bance a odpovídá regulatorním požadavkům na řízení likvidity stanovených Bankou pro mezinárodní vypořádání.

Abstract:

The goal of this thesis is to propose an investment strategy for non-maturity corporate deposits in closely unspecified Bank in the Czech market. This topic falls in banks within the responsibilities of the asset liability management unit which is concerned mainly with the liquidity and interest rate risks of the banking book. According to theory the liquidity and interest rate risks may be reduced by aligning the assets to the structure of liabilities. The aggregated deposits portfolio is scrutinized through various analytical methods in order to capture the patterns of their behavior. The investment strategy is based on the output of the analysis which enables to match the asset structure to the liabilities and consequently reduce the liquidity and interest rate gaps. The investment strategy is elaborated based on the Sound Principles of Liquidity Management issued by the Bank for International Settlements in 2008.

Keywords

řízení likvidity, matice přechodu, analýza přežití, úrokové riziko, likviditní riziko, bankovní instituce, řízení aktiv a pasiv

Keywords

liquidity management, transition matrix, survival analysis, interest rate risk, liquidity risk, banks, asset liability management

Language used: English

Date on which the thesis was submitted / produced: 21. 5. 2014

Thesis defence

• Date of defence: 22. 8. 2014
• Supervisor: Jiří Witzany
• Reader: Tomáš Derner

Vysoká škola ekonomická v Praze

Master programme / field:
Finance a účetnictví / Finanční inženýrství