论文标题
在Ornstein-Uhlenbeck框架中建模的非机械沉积物建模
Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework
论文作者
论文摘要
本文建立了多元lévy驱动的Ornstein-Uhlenbeck流程，用于管理非机械存款，这是银行的主要资金来源。本文的贡献既是理论上的，也是运作的。从理论方面来说，该模型的新颖性是在莱维框架中包括三个独立的随机性来源：市场利率，存款利率和存款量。莱维背景驾驶过程的选择使我们能够对罕见但严重的事件进行建模。在运营方面，我们提出了一个程序，以在未来的情景模拟中包括具有积极概率的严重体积流出，并使用意大利银行业数据进行了说明性示例来解释其实施。
This paper builds a multivariate Lévy-driven Ornstein-Uhlenbeck process for the management of non-maturing deposits, that are a major source of funding for banks. The contribution of the paper is both theoretical and operational. On the theoretical side, the novelty of this model is to include three independent sources of randomness in a Lévy framework: market interest rates, deposit rates and deposit volumes. The choice of a Lévy background driving process allows us to model rare but severe events. On the operational side, we propose a procedure to include severe volume outflows with positive probability in future scenarios simulation, explaining its implementation with an illustrative example using Italian banking sector data.
