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Degree
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Post-graduate student of the chair of Information systems in economy, Saratov State Socio-Economic University
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Location
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Saratov
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Articles
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The model handling two major commercial bank liquidity components is considered. The first one depends on banking call accounts balances and the second one depends on deposits and credits streams balance. Time series prediction methods and GPSS World system simulation technique are used for assessing the first and the second components values accordingly. Nonparametric random algorithm for time series with autocorrelated features generation is offered to simulate banking accounts balances time series. Several nonparametric statistics tests are run to evaluate the correspondence between real time series and generated series. The liquidity parameters calculated for different credit defaults probability values are presented.
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