Benjamin Ruimy has worked in the financial industry as a quantitative analyst since 2017, and is currently an Associate at Barclays in QA Treasury. His work covers the statistical modeling of banking book products for Balance Sheet Management with particular focus on Interest Rate and Liqudity Risk associated with Non-Maturing Deposits. He has also worked with Treasury focusing on their Structural Hedge Program. Benjamin holds a double degree; an Engineering Degree from Grenoble INP-Ensimag and a Masters Degree in Quantitative Finance from Grenoble IAE.
This paper presents a generic framework for modeling nonmaturing deposits that can be used by banks for interest and liquidity risk management, funds transfer pricing and dynamic balance sheet management.