CORE Deposits – I and II : Balance sensitivity assumptions and core deposit duration.

Posted: 31/10/2017

Part I discusses the textbook definition of effective duration applicable to core deposits
(“Bank Asset-Liability Management Newsletter”, June 2006, p. 7)

Part II presents a simplified rate model to capture several key aspects of bank pricing behavior. One of the four standard
rate parameters is  shown to dominate the others.

 

A Primer On Core Deposit Duration – V.1-2