Deposit Runoff Modeling: Survival Analysis and Behavioral Modeling of Non-Maturity Deposits

Build production-grade models of deposit decay for bank Asset-Liability Management. This advanced course develops the full modeling stack for non-maturity deposit (NMD) runoff: from account-level survival and discrete-time hazard models, through frailty and mover-stayer treatments of heterogeneity, Age-Period-Cohort decomposition, and balance dynamics on surviving accounts, up to cohort-triangle and pure top-down methods for data-constrained engagements. Students implement every layer in Python (pandas, lifelines, statsmodels) on a synthetic bank ledger with known ground truth, assemble a cohort roll-forward projection engine with stress scenarios, then carry the runoff outputs into their downstream risk applications - Economic Value of Equity and NII simulation, and Monte Carlo simulation of future liquidity (cashflow ladders, liquidity-at-risk, survival horizons) - and finish with the regulatory and industry frame - IRRBB (BCBS 368/EBA), LCR/NSFR, SR 11-7 validation, and the core deposit study playbook - culminating in an end-to-end capstone deposit study. The organizing theme throughout is the two-dynamic structure of the problem: balances decay over time while the account inventory simultaneously ages, and the portfolio can only be understood as the sum of its cohorts.

  • Level: advanced
  • Duration: 12 weeks
  • 13 sections
  • Price: $99.99

Topics: non-maturity deposits, deposit runoff, core deposit study, survival analysis, Kaplan-Meier, discrete-time hazard model, Weibull hazard, frailty models, mover-stayer model, age-period-cohort, vintage analysis, runoff triangle, deposit beta, surge balances, cohort roll-forward, Markov chain projection, asset-liability management, IRRBB, BCBS 368, economic value of equity, EVE sensitivity, net interest income simulation, deposit franchise value, liquidity at risk, cashflow ladder, survival horizon, liquidity stress testing, LCR runoff factors, SR 11-7 model validation, core deposit intangible, left truncation, right censoring, lifelines, state-space models

What's inside

  1. Deposit Runoff Modeling: Survival Analysis and Behavioral Modeling of Non-Maturity Deposits
  2. Chapter 1: The Deposit Runoff Problem: Decomposition, Cohorts, and the Lexis Diagram
  3. Chapter 2: Data Engineering: The Account-Month Panel and Vintage Triangles
  4. Chapter 3: Survival Analysis for Account Attrition: Nonparametric and Parametric Methods
  5. Chapter 4: Discrete-Time Hazard Models: The Industry Workhorse
  6. Chapter 5: Heterogeneity, Frailty, and Mover-Stayer Models
  7. Chapter 6: Age-Period-Cohort Decomposition and Vintage Effects
  8. Chapter 7: Balance Dynamics on Survivors: Age Profiles, Deposit Betas, and Surge Balances
  9. Chapter 8: Cohort Triangles and Top-Down Methods: Modeling Under Data Constraints
  10. Chapter 9: The Projection Engine: Cohort Roll-Forward, Simulation, and Stress Scenarios
  11. Chapter 10: From Runoff to Value: EVE, Deposit Duration, and NII Simulation
  12. Chapter 11: Monte Carlo Simulation of Future Liquidity
  13. Chapter 12: Industry Practice, Regulation, and Validation: The Core Deposit Study - Capstone

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