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...

This paper develops and applies a novel estimation procedure for quantile regressions with time-varying coefficients based on a fully parametric, multifactor specification. The algorithm recursively filters the multifactor dynamic coefficients with a Kalman filter and parameters are estimated by...

Understanding the mechanisms that drive extreme negative and positive prices in day-ahead electricity prices is crucial for managing risk and market design. In this paper, we consider the problem of understanding how fundamental drivers impact the probability of extreme price occurrences in the...