Emil Avsar has worked in the financial industry as a quantitative analyst since 2013, and is currently a Director 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 been closely involved with supporting various Stress Testing submissions such as CCAR. Emil holds a PhD in Theoretical Physics from Lund University, Sweden.
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.