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Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/9165

Title: A survival analysis approach to estimating funding liquidity risk – the case of a Ghanaian bank
Authors: Ahiale, Edem Boadum
Issue Date: 7-Oct-2016
Abstract: This paper presents a non-parametric survival model approach to estimating the run off profile of a bank product with uncertain cash flows. 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. Steps are then taken to address any resulting funding gaps. The difficulty bank’s face, however, is in assigning future cash flows related to products with indeterminate maturity. The focus of this study 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 data set from a Ghanaian bank to estimate the empirical run off profile of a savings product over a 30 day period.
Description: A thesis submitted to The Department of Mathematics, Kwame Nkrumah University of Science and Technology in partial fufillment of the requirement for the degree of Msc. Actuarial Science, 2016
URI: http://hdl.handle.net/123456789/9165
Appears in Collections:College of Science

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