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A Survival Analysis Approach to Estimating Funding Liquidity Risk in Banks

机译：估计银行资金流动性风险的生存分析方法

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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.
机译：衡量银行资金流动性风险的最实用方法是基于单个银行的资产负债表（资产和负债的项目），在该资产负债表中比较流入和流出以确定未来一段时间内的累计现金短缺。尽管随后采取措施解决了由此产生的资金缺口，但银行面临的困难是分配与到期期限不确定的产品有关的未来现金流量。本文提出了一种非参数生存建模方法，用于估计具有不确定现金流量的银行产品的径流曲线。重点是使用Kaplan和Meier开发的产品极限估算器为应对这一挑战做出贡献。鉴于研究的主题是以货币为单位，因此采取了一些措施来解决可能与产品限度估算器的正常应用存在差异的领域。然后，本文使用加纳一家银行的数据集说明了该框架，以估算30天期间储蓄产品的经验径流曲线。

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