Upon Further Analysis — Archives
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Deposit Modeling and Earnings at Risk
A previous post discussed some of the challenges associated with modeling non-maturity deposits (NMD), especially with respect to economic value of equity (EVE). Deposit modeling for earnings-at-risk (EAR) is more tractable but presents challenges of its own. What is EAR? EAR looks at changes to net interest income from changes in market interest rates. Unlike…