Squeeze Play: Modeling Non-Maturity Deposits in a Changing Rate Environment
Reasonable rate and balance response behaviors for non-maturity deposits are some of the most challenging assumptions A/L managers must develop for interest rate risk measurement. Traditional approaches to the problem treat repricing as a single- or rate shock dependent beta, with balance “attrition” driven by historical data on account opening and closing dates. These techniques fail to fully consider the manner of actual ALCO repricing, nor do they appropriately estimate rate insensitive non-maturity balances.
This webinar will investigate leading practice techniques for modeling the repricing and balance supply dynamics to non-maturity deposits. Next-generation methods capture beta’s non-linearity and evaluate decay in the context of balances supplied relative to changes in interest rates. Also addressed will be approaches to developing appropriate deposit assumption inputs to support multi-scenario NII simulation.
Thomas E. Bowers
Managing Director, ZM Financial Systems
Tom Bowers has been providing finance managers practical guidance on how to apply advanced simulation analytics to balance sheet risk management. As the Managing Director for OnlineALM.com, a web-based asset-liability management tool used by institutions and service bureaus nation-wide, Mr. Bowers offers client support regarding data handling, modeling methodologies, report interpretation as well as writing product documentation. He also works closely with the ZMFS’ principals to broaden and deepen our flagship solution, ZMdesk.
Registration to the live session includes:
- One online connection
- CPE credit for registrant
- Permission to reproduce the handouts and other written material for additional attendees at your location
Only registered attendees of the live session can obtain CPE credit. Attendees of FMS live webinars also receive two views of the On-Demand version of the program they attend. Use this bonus feature to share the program with colleagues or as a refresher at a later date. Instructions for viewing the on-demand session will be emailed to you at the conclusion of the live event.
|| Earn up to 1 hours of CPE credit.
- Level: Basic
- Prerequisites: None
- Advance preparation: None
- Field of Study: Finance - Technical
- Instructional Method: Group Internet Based
- Length: 60 minutes
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