Definition of conditionally permanent part of current liabilities of a bank

Anatoly P. Vozhzhov, Oleg V. Lunyakov, Natalya A. Lunyakova


The article deals with the questions of the definition of the conditionally permanent part of current liabilities of a bank. The purpose of this article is to develop a scientific and methodological approach to determine the conditionally permanent part of the current liabilities of a bank under the conditions of the complexity of data acquisition and processing of the data on factors that influence on demand deposits. The main hypothesis is the assumption of the heterogeneity of the variance of the daily cumulative sum of demand deposits. The analysis of scientific and methodological approaches that allow determining a stable part of current liabilities proves the need for further improvement of scientific instruments. In particular, a coefficient analysis that is proposed by some of the scholars, mainly, considers the average values of turnover on accounts, which in turn, can vary considerably throughout the calendar year. The use of the probability distributions to determine the expected value of the constant sum of deposits is possible only in the case of «ideal» financial conditions, when the impact of factors on the aggregate sum of deposits is not taken into account. The developed statistical models leave out the possible heterogeneity of the dispersion of this balance. In the article, it is proposed to apply econometric methods, namely, the methods of time series analysis to test the hypothesis of the variance heterogeneity of the cumulative sum of demand deposits, using daily data. In particular, the formalization and evaluation of EGARCH-model parameters are conducted. The EGARCH-model allows to take into account the non-linear, asymmetric effects of fluctuations in the financial series. The determination of the conditionally permanent part of demand deposits is proposed on the basis of the revealed regularities. The results of the research prove the hypothesis of the non-stationary character of the variance in daily balance of demand deposits. It may result from the economic shocks influence. The proposed scientific and methodological approach may be applied in the bank liabilities management both at the micro level and at the regional level of banking network.


transformation of current liabilities; demand deposits; conditionally permanent part of settling funds; forecasting; asymmetric effects; variation in the demand deposits volatility; statistical models

Full Text:



Vozhzhov, A. P. & Lunyakova, N. A. (2009). Uchyot vliyaniya depozitnykh riskov v protsessakh transformatsii bankovskikh resursov [Accounting for the effects of deposit risks in the processes of bank resources transformation]. Formirovanie rynochnoy ekonomіki v Ukraine [Formation of market economy in Ukraine], 19, 16–26.

Vozhzhov, A. P. (2006). Protsessy transformatsii bankovskikh resursov [The processes of transformation of bank’s resources]. Sevastopol: SevNTU Publ., 339.

Gerasimova, E. B. (2003). Analiz bankovskikh resursov metodom koeffitsientov [The ratio analysis of bank' resources]. Finansy i kredit [Finances & credit], 1, 22–25.

Tolochko, Yu. & Mironchik, N. (2002). Prognozirovanie uslovno postoyannogo ostatka na tekushchikh schetakh klientov [The forecasting of the conditional-constant component of the bank's demand deposits]. Bankaўski vesnik [Bank bulletin magazine], 16, 17–21.

Karcheva, A. T. (2004). Modelirovanie investitsionnoy deyatelnosti bankov [Investment banking modelling]. Vestnik Natsionalnogo banka Ukrainy [Bulletin of the National Bank of Ukraine], 10, 11–15.

Konyukhovskiy, P. V. (2001). Mikroekonomicheskoye modelirovanie bankovskoy deyatelnosti [Microeconomic modeling of the banking]. St. Petersburg: Piter Publ., 224.

Lavrushin, O. I. (2009). Bankovskoye delo [Banking]. In: O. I. Lavrushin, I. D. Mamonova, N. I. Valentseva et al. (Eds). Moscow: Knorus Publ., 768.

Maslenchenkov, Yu. S. (1997). Finansovyy menedzhment v kommercheskom banke: Kn.3: Tekhnologiya finansovogo menedzhmenta klienta [Commercial bank financial management. Book 3. Technology of the client-oriented financial management]. Moscow: Perspektiva Publ., 214.

Panova, G. S. (1996). Analiz finansovogo sostoyaniya kommercheskogo banka [A financial ratio analysis of commercial bank performance]. Moscow: Finansy i statistika [Series Finances and statistics], 272.

Tagirbekov, K. R. (2003). Osnovy bankovskoy deyatelnosti (bankovskoye delo) [Principles of banking activity: banking busines]. Moscow: Infra Publ., Ves Mir Publ. Moscow, 720.

Sukharskiy, V. S. (2000). Sberegatelnoye delo. Osnovy teorii i praktiki [Savings business. Basic theory and practice]. Ternopol: Nauchnaya kniga Publ., Bogdan, 256.

Ivancha, A. I. (2011). Optimizatsiya uslovno-postoyannogo ostatka na schetakh «do vostrebovaniya» kommercheskogo banka [Optimization of the conditional-constant part on demand deposits of commercial bank]. Upravlenie ekonomicheskimi sistemami [Management of economic systems]. Retrieved from:–342011/item/722--l-r- (date of access: 11.02.2015).

Samoylov, E. V. (2006). Sovershenstvovanie metodov upravleniya mgnovennoy i kratkosrochnoy likvidnostyu kommercheskogo banka: avtoref. dis. ... kand. ekonom. nauk [The improving of methods of regulation of the instant and short-time liquidity in a bank management: PhD thesis]. Nizhniy Novgorod. Retrieved from: (date of access: 10.02.2015).

Shiller, R. І. (1997). Optimizatsiya obyomov i stuktury privlechennykh i zaimstvovannykh sredstv dlya dosticheniya finansovoy ustoychivosti banka [The optimization of the volume and structure of the borrowed and attracted funds for achieving the bank's financial stability]. Finansy Ukrainy [Finances of Ukraine], 12, 47- 53.

Lunyakova, N. A. (2009). Depozitnyye riski v bankovskoy deyatelnosti [Deposit risks in banking]. Sevastopol: Ribest Publ., 208.

Venttsel, E. S. (1969). Teoriya veroyatnostey [The theory of probability]. Moscow: Nauka Publ., 576.

Nelson, D. (1901). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 50, 347–370.

Anderson, T. (1976). Statisticheskiy analiz vremennykh ryadov [The statistical analysis of time series]. Moscow: Mir Publ., 756.


Copyright (c) 2018 Anatoly P. Vozhzhov, Oleg V. Lunyakov, Natalya A. Lunyakova

Сertificate of registration media Эл № ФС77-80764 от 28.04.2021
Online ISSN 2412-0731