Model for Determining the Stability of Retail Deposits with Higher Outflow Rates

Aleksandra Murks Bašič

Aleksandra Murks Bašič

Ključne besede: vloge na drobno, stabilnost, transakcijski račun, LCR, jamstvo za vlogo, deponenti, višji odlivi, Basel III

Povzetek

Vloge na drobno veljajo za enega najcenejših in tudi najstabilnejših virov financiranja za banke, ki razpolagajo z večjimi vrednostmi teh vlog. Za namen poročanja in izpolnjevanja zahteve glede likvidnostnega kritja definira banka tri glavne skupine vlog na drobno, ki jim pripadajo različne stopnje odlivov. Za prvi dve glavni skupini so značilne stopnje odlivov 5 % oziroma 10 %, za tretjo glavno skupino pa banka sama določi stopnje odlivov. Tretja glavna skupina je tudi predmet obravnave v tem članku. Banka na podlagi števila in dejavnikov tveganja razvrsti vloge na drobno v tri kategorije. Dejavniki tveganja so glede na stopnjo tveganja razdeljeni v dve skupini. V članku je najprej opisan zakonodajni okvir, nato pa način izračuna višjih stopenj odlivov za vloge na drobno v skladu s preteklimi nihanji in pričakovano oceno nestanovitnosti v situaciji stresnih razmer. Na koncu je na kratko podana prihodnja obravnava vlog na drobno z višjimi stopnjami odlivov.

Prenosi

Podatki o prenosih še niso na voljo.

Biografija avtorja

Aleksandra Murks Bašič

Zavarovalnica Triglav d.d., Ljubljana, Slovenija
E-pošta: sandra666.basic@gmail.com

Aleksandra Murks Bašič obtained her Ph.D. in physics in 2012 by studying evolutionary games, social dilemmas, complex networks, and stochastic processes. She has mainly been involved in the analysis of economic instruments in the area of greenhouse gas emissions, but has recently extended her interests to include banking and finance. She is active in the field of risk management in the banking and insurance segments as well as financial planning and analysis and deals with the implementation of internal models in the field of assets and liabilities management (ALM).

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