Improving Usefulness of PPNR CCAR Stress Test Models: Adding 30+ Years of Rate Data

Publication: Novantas Perspective (September 2016) Co-authors: Jane Lim, Ryan Schulz

To address the data shortcoming that many banks lack sufficiently long internal monthly history covering multiple rate cycles, Novantas uses the time deposit share of total interest-bearing deposit balances (“CD-Share”) as an independent industry variable in deposit balance models.