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• W2513117005 abstract "The most practical approach to measuring funding liquidity risk in banks is based on the individual bank’s balance sheet (items of assets and liabilities) where inflows and outflows are compared to determine the cumulative cash shortfalls over future time periods. Although steps are then taken to address any resulting funding gaps, the difficulty that the banks face is in assigning future cash flows related to products with indeterminate maturity. The paper presents a non-parametric survival modelling approach to estimating the run-off profile of a bank product with uncertain cash flows. The focus is to contribute to addressing this challenge using the product limit estimator developed by Kaplan and Meier. In view of the subject of the study being in monetary terms, measures are developed to address areas of possible divergence from the normal application of the product limit estimator. The paper then illustrates the framework using a data set from a bank in Ghana to estimate the empirical run-off profile of a savings product over a 30-day period." @default.
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• W2513117005 date "2016-01-01" @default.
• W2513117005 modified "2023-09-27" @default.
• W2513117005 title "A Survival Analysis Approach to Estimating Funding Liquidity Risk in Banks" @default.
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