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Dissertation
Introduction. The urgency substantiation
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Business banks development and successful functioning cannot be imagine without wide and universal introduction of advanced information technologies now.
Deposits and the rests of money resources on the current balances of clients liabilities forms the lion's share in structure of bank liabilities. The conclusion about determining effect of this liabilities group on banks liquidity is completely reasonable in view of the Ukrainian business banks specificity (an extremely down level of their integration into international financial resources markets I mean). Deposits are rather cheap source of bank resources and they are highly profitable to banks. However these means are very fickle, and their significant volume poses a threat of bank liquidity. Thus, possible strategy of liquidity management should be based on qualitative studying of this class of bank liabilities, and the problem of forecasting of a prospective demand balance on current and deposit balances takes a special place in bank liquidity managerial process.
More perfect forecast methods of the clients account balances and balances on deposit will help bank to distribute the force and means for their formation more effectively and rationally, to plan application of these funds as a stable resource for crediting (including interbank credits), investment in securities to receive significant profit. These facts make for banks to search and use the exactest and reliablest approaches to forecasting a potential cash balance for current clients accounts for qualitative liquidity management. The reliable methodological tools for processing the corresponding information is necessary for bank to cope effectively with this problem.
The goal and objectives of work
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For original forecasting program system of clients account balances and balances on deposit being worked out it is necessary to found and choose a forecast method and to construct on the exactest and most effective prediction model based on the picked procedure and adequately reflected to financial time series, with the least mistake of the data forecast.
Let's consider a target setting. The values Y=Y(t) of the average rests of money resources on the current and deposit balances of clients are observed during the discrete moments of time ti= t0+iΔt, i=1...T , where t0 - some initial moment of time, Δt - a space of time between observations, Ò - a time horizon. Forecasting problem consists in estimation of the future values Y using the known interval.
The primary objectives of planning and forecasting the rests of money resources on the current and deposit balances of clients are:
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planning of using these means as a stable resource for crediting (including interbank credits), investment in securities, etc; forming of values for a bank deposit budget portfolio on a settlement period and achievement of the planned strategic purposes; An estimation of economic and financial outlooks, and also prospective bank financial condition on a planned period; Substantiated conclusions and recommendations forming by a choice of rational top Bank leadership acts strategy and tactics on this basis.
The prospective scientific novelty
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The prospective scientific novelty will consist in development of an original program forecasting subsystem of clients account balances and balances on deposit, construction of the exactest and most effective prediction model based on the procedure being chose and adequately shows to financial time series dynamics, with the least mistake of the data forecast.
Brief review of the task solution existing methods
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The choice of a models family shows specificity of forecasting problem solution. Technical analysis is the striking representative of the practical approach. The regression methods, an extrapolation based on growth curves, adaptive forecast methods, piecewise forecasting of financial time series, the methods based on neural networks, componential and regression analysis of time series through factors of growth by "a method of seasonal oscillations” etc are also widely spread.
Planned results
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Directions of the further researches are:
the further research of the literature on questions connected to a master's work theme;
development of a prediction model of demand balances on current and deposit accounts of bank clients on the basis of the method being chose;
check of prediction models correctness on the basis of inverse verification by retrospective forecasting
a choice of tools of development of a software;
program realization of the developed prediction model.
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