In Basel II the regulators stress the importance of finding realistic volumes models for non-maturing accounts (NMAs), given their cash-flow uncer- tainty due to optionality. Focusing on Swiss savings accounts, we identify their seasonal pattern and we derive their sensitivity to market rates...

Retail banks usually apply simple linear regression models for describing the dynamics of the deposit rates of non-maturing accounts (NMA) like savings deposits. Thus, typical patterns like asymmetry or rigidity that banks follow when adjusting their deposit rates are ignored. This is insofar...