Technical Papers
Some Consequences Of Paying Interest On Excess Reserves
Under the Financial Services Regulatory Act of 2006 and the Emergency Economic Stabilization Act of 2008, the Federal Reserve was authorized to pay interest on reserves. Paying interest on reserves, both required and excess, began in October 2008 and continues to this day….
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On Attrition Measurement and Customer Balances
Our careful analyses of our clients’ deposit databases have led to some robust conclusions regarding the use of product and customer based attrition analyses as a proxy measure of the liquidity of commercial banks…
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On Attrition
Many consulting firms serving the banking industry conduct analyses of decay or attrition rates associated with non-maturity deposit (NMD) products. The demand for these services is frequently prompted by bank examiners…
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Better Simulation Models of NMD Rates
Can vendor and bank ALM modelers of non-maturity deposit (NMD) rates over-rely on statistically fitting models to the bank’s own rate histories when modeling NMD rates as inputs to their IRR models? We examined this issue and present our conclusion: Yes, we believe so…
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On Beta Models of NMD Rates
Many advances in interest rate risk measurement and management of bank balance sheets in recent years have largely been about better data feeding more robust analytics and realtime ongoing monitoring. At the same time, progress in the adoption of more robust models of non-maturity deposits (NMD) has been slow…
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Robust Models of Core Deposit Rates - II
In a prior article, we presented results of our examinations of national deposit pricing history from 1998 to early 2016. We reported the evidence of rate structures characterized by hierarchical rate relationships amount deposit products that are both robust (stable in all rate environments) and persistent (durable over time)…
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Robust Models of Core Deposit Rates
Our recent analysis of historical deposit pricing across the country (BALM October 2016) revealed a structure of relationships between and among bank core and time deposit rates. This structure is persistent and stable, even in the most recent (post-crash) period of extremely low rates…
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A Review of Retail Deposit Pricing in the United States: Before and After the Financial Meltdown
In this article we examine and present evidence from actual rate histories as to whether deposit management has become less rigorous and systematic in the postrecession, low-rate world. To accomplish this we employ a rate model incorporating partial adjustment and asymmetrical responses to evaluate rates in national, regional and local markets…
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ALCO Partners Services
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ALM Consulting & Advisory
- IRR Modeling and Management
- Capital Measurement and Management
- Deposit and Liquidity Management
- Bank Secrecy Act / Anti-Money Laundering Advisory (BSA/AML)
Risk Model & Process Validation
- All Vendor ALM/IRR Models and Processes
- Capital Stress Testing (DFAST)
- Current Expected Credit Loss (CECL)
- Bank Secrecy Act and Anti-Money Laundering Model Validation (BSA/AML)
- “Upstream” Models
- Prepayment
- Securities Cashflows
- CECL and Credit
- Mortgage Pipeline
- Deposit Account Attrition
- Deposit Balance Attrition
- Deposit Pricing
- Governance and Documentation
Deposit Account and Balance Analysis & Management
- Attrition Analytics
- Traditional “Deposit Attrition Study”
- Next-generation “Attrition Dashboard”
- Deposit Pricing and Back-testing
- Depositor-level Behavior Modeling for:
- Pricing
- Profitability
- Service Allocation
- Balance Simulation
Liquidity Risk & Management
- Liquidity Risk Review
- Contingency Funding Plan
Credit Stress Testing & Capital Planning
- Current Expected Credit Loss (CECL)
- Dodd-Frank Act Stress Test (DFAST)