Non-Maturity Deposit Models (NMD Models)

Overview

Project Structure

nmd_model/
├── model/                                        #Trainned model and parameters (pkl.)
│   ├── hazard_rate.pkl
│   ├── ci_model.pkl
│   ├── hp_model.pkl
│   ├── gbm_model.pkl
│   ├── ddm_model.pkl
│   ├── ddy_model.pkl
│   ├── beta_model.pkl
│   ├── threshold_model.pkl
│   ├── jvd_model.pkl
│   ├── threshold_model.pkl
│   ├── runoff_model.pkl
│   ├── replicating_weights.pkl
│   ├── yield_curve.pkl
│   └── dynamics_model.pkl
├── notebooks/
│   ├── 01_data_generation.ipynb
│   ├── 02_survival_decay.ipynb
│   ├── 03_stable_nonstable.ipynb
│   ├── 04_deposit_rate_model.ipynb
│   ├── 05_deposit_decay.ipynb
│   ├── 06_economic_theory.ipynb
│   ├── 07_nmd_floor.ipynb
│   ├── 08_structural_hedge.ipynb
│   ├── 09_wealth_allocation.ipynb
│   └── 10_irrbb_integration.ipynb
├── src/
│   ├── data_generator.py
│   ├── survival_analysis.py
│   ├── stable_nonstable_model.py
│   ├── deposit_rate_model.py
│   ├── deposit_decay_model.py
│   ├── economic_theory.py
│   ├── nmd_floor.py
│   ├── caterpillar.py
│   ├── wealth_allocation.py
│   ├── reporting.py
│   └── plot_function.py
├── data/          
│   ├── processed
│   └── raw/
|   └── └── nmd_data.parquet
├── requirements.txt
└── README.md

Project Details

1. Synthetic Data Generation

2. Survival Decay Model

2.1 Non-Parametric

2.2 Regression

3. Stable / Non-Stable Decomposition

3.1 Confidence Interval

3.2 Hodrick-Prescott

3.3 Geometric Brownian Motion

3.4 Drawdowm Analysis

4. Deposit Rate Model

4.1 Beta Regression

4.2 Threshold Model

4.3 Jarrow Ven Deventer

5. Deposit Decay Model

5.1 Historical Runoff Profile

5.2 Replicating Portfolio

6. Economic Theory

6.1 Dynamics Model Simulation

6.2 Economic Value of Equity (EVE)

7. NMD Floor

8. Structual Hedge - Caterpillar

9. Wealth Allocation Model

10. IRRBB Reporting

License

MIT · Built for learning purposes