Deposit / NII / NIX / Off Balance Sheet Asset models
- Risk Management
Prescio Consulting was retained to develop time series models to forecast Deposit Balances, Non-Interest Income (NII), Non-Interest Expenses (NIX), and Off Balance Sheet Assets for a major U.S. bank. The models were developed in SAS using extensive in-depth statistical analysis and industry standard tools. We worked closely with personnel at the bank to ensure that the models were both statistically sound and yielded predictions that were in line with business expectations. The modeling process incorporated exploratory data analysis, data cleansing, segmentation, variable selection (using statistical and qualitative methods), forecasting, back testing, and sensitivity analysis. These models were incorporated into the mid-year and annual CCAR stress testing exercises for the bank.