A New Approach to Modelling NMD Interest Rate Risk Through Individual Financial Characterization

Prometeia will participate in the 7th ALM Conference, the benchmark event for financial risk management professionals, taking place on October 27–28, 2025, in Warsaw, Poland.

Why It Matters

In the evolving interest rate landscape, deposit behaviours are changing. Across the Eurozone, rising rates and shifting customer preferences are challenging traditional modeling approaches to non-maturity deposits (NMDs). As liquidity becomes more volatile and pricing competition intensifies, banks are re-evaluating how they measure and manage interest rate risk (IRR) on NMDs. Prometeia proposes a customer-level modeling framework, leveraging transactional data and behavioural analytics to capture the real financial dynamics behind deposit stability moving beyond static assumptions and toward greater precision in IRR modelling.

 


Our Focus This Year

Prometeia will present a behavioural modeling framework for NMDs, designed to improve Interest Rate Risk in the Banking Book (IRRBB) estimations by incorporating individual customer financial behaviours. This approach allows financial institutions to better anticipate outflows, segment risk, and assess deposit stability under varying market conditions.

Our model includes four integrated components:

  • Liquidity decomposition: Current account balances are classified into recurring, prudential, and speculative components to understand how clients use their funds.
  • Behavioural segmentation: Machine learning techniques are applied to segment customers into four distinct risk clusters, each with differentiated responses to rate changes.
  • Stable component estimation: Statistical modeling estimates the portion of deposits likely to remain stable over time, incorporating variables such as customer risk profiles, rate environment, and financial wealth.
  • Decay profile analysis: A dynamic simulation of deposit outflows over time, conditional on customer behavior. Surprisingly, high-risk customers often show greater deposit stickiness than low-risk ones.

📩 Request the session deck and in-depth details. Contact us at: risk.community@prometeia.com


Live Talk

  • Lisa Signani, Associate Partner at Prometeia
    “Modelling the Interest Rate Risk of NMDs in the New Financial Environment: An Individual Customer Characterisation Approach” (Oct 27, 11:50)
  • Giovanni Campo, Associate Partner at Prometeia
    Panel Discussion: “What Keeps ALM Managers Awake at Night: Navigating the Complexities of Asset and Liability Management in a Volatile World” (Oct 27, 13:20)

The session will demonstrate how to:

  • Use transactional data and advanced analytics to analyze liquidity behaviour.
  • Estimate stable liquidity components based on customer sensitivity to interest rates.
  • Derive NMD decay profiles linked to individual behavioural patterns.


Why This Event Matters:

The ALM Conference 2025 will gather industry leaders, including board members, CROs, and ALM directors, to explore how financial institutions are addressing challenges such as NMD modelling, RRBB/CSRBB compliance, AI integration, and ESG inclusion in ALM strategies.

Prometeia’s approach offers a forward-looking, data-rich solution that enhances the precision and robustness of deposit modeling, helping banks move toward more granular, resilient, and adaptive risk management practices.


Let’s Connect

📩 Request the session deck and in-depth details. Contact us at: risk.community@prometeia.com