Modellering av inlåning utan avtalad löptid: Förbättrad ränteriskhantering med replikerande portföljmodeller

Accurately modelling non-maturity deposits remains a critical yet challenging task for banks, driven by unpredictable withdrawal behaviour and uncertain interest rate dynamics. Due to the uncertainty in future cash flows, the corresponding volume risk cannot be directly hedged, requiring replication of deposits through a portfolio of fixed-maturity instruments. This thesis proposes a novel method to separate core from non-core deposits, where core deposits may be invested for periods longer than one day. It compares various static replicating portfolios and a dynamic replicating portfolio in terms of margin size and margin stability. The proposed models are developed to comply with regulatory standards and are also evaluated based on their feasibility in practical banking applications. A comprehensive backtest using actual data shows that, while the dynamic portfolio yielded more balanced results and greater adaptability to changing market conditions, the static portfolios still outperformed the standardised approaches proposed by authorities, while offering greater transparency and ease of implementation compared to the dynamic model.