- Consumers may hold stocks or bonds, houses, other fixed assets, bank accounts and CDs. They may even choose to stuff $100 notes into coffee cans and bury them in the garden.
- Consider the differential behaviour of deposits when the economy is liquidity-trapped as opposed to situations where it is free to roam.
- Macro drivers considered: nominal GDB, federal fund rate, 10-y and 30-y Treasury yields, oil price, median house prices, a broad exchange rate index for US, dollar, corporate profits and business fixed income
- S&P500 share price index excluded because of a too big impact on resultant deposits in adverse and severely adverse scenarios
- Model for total deposits that relates its growth rate to a number of economic drivers, financial market conditions indicators and bank related aggregate statistics. Includes lags of various lengths and is estimated using linear regression
- Domestic total deposits modelled with logistic functional form and with GLM estimators for coefficients estimates.
- Identify a group of 9 macro economic drivers with several lag versions
- Most acute stress was during the Lehman Bros collapse
- Very low interest rates have the effect of depressing growth in several key deposit categories
- A tailored stress model will have the macro dynamics identified in the paper.
- The framework will take into account the past efforts of managers to grow the deposit book and potential management responses to the onset of stress.
Deposit Stress Testing
Original by Moody’s analytics, 2013, 8 pages![Hamster_gagarin_linkedin](https://hamsternotes.com/wp-content/uploads/2023/12/linkediniconHNgagarinbooks.png)
![hamster writter](https://hamsternotes.com/wp-content/uploads/2023/12/hamsteremoji-e1702930658920.png)
Latest Hamster Notes
- Start with Why posted in Management
- 4 steps to optimise product value posted in Agile Management
- 5 paradoxes of digital business leadership posted in Agile
- Product Vision, 10 tips posted in Agile
- Progress in adopting the Principles for effective risk data aggregation and risk reporting 2023 posted in Credit risk Finance
- Leadership styles by ChatGPT posted in Management
- Gen AI round table posted in Machine Learning
- Leadership in fully remote teams posted in Management
- Leadership for the reluctant leader posted in Management
- Corporate Credit Risk Modelling and the Macroeconomy posted in Finance