Bank runs prompt rethink of IRRBB deposit models
ALM managers are looking for ways to separate the impact of rate hikes from idiosyncratic risks
Banks are reviewing their asset and liability management (ALM) models following last month’s deposit runs at Silicon Valley Bank and Credit Suisse.
Among the changes being considered are the wider use of reverse stress-testing and sensitivity analysis to capture idiosyncratic risks not directly related to interest rate hikes and updating assumptions about the duration of current accounts.
“Many IRRBB models don’t capture the idiosyncratic customer behaviour, but they weren’t supposed to,” said
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