Voloshyn N. Modeling of cash flows and pricing on bank's deposits.

The thesis is devoted to development of the complex of economic and mathematical models of bank's deposit activity: models of cash flows of early withdrawal and roll-over, interest expense, plan and after-term flows, attraction of new deposits, liquidity risk valuation and risk-adjusted deposit pricing under condition of illiquid market. Detailed analysis of the phenomenon of early withdrawal and roll-over of deposits is provided. The influence of yield factor that affects the clients' financial behavior is formalized. Validation of the core cash flow models (as well as assumptions put in their base) using the statistics of Ukrainian banks is given. It is proved that they are sufficiently accurate for usage in banking practice.