Behavioral Maturity assessment for Non-Maturity bearing deposits has been the holy grail of the ALM framework.
It requires assessment of long term deposit data of customer clusters considering all relevant internal and external conditions related to interest rate and liquidity.The key points to consider are:
- Core & Volatile split of deposits
- Deposits run-off (Decay rate)
- Deposits sensitivity to market interest rates (Beta)
- Surge factorslike external event or market’s flight to safety in bad times
- Relationship or linkage to macroeconomic factors
- Bank portfolio composition shift
We have helped a few large banks with Behavioral Maturity Assessment through a combination of statistical time series modeling and expert opinion driven techniques.