How Did Your ALCO Model Hold Up?
Jeff For Banks
DECEMBER 16, 2023
My firm did a sample data run for a client that included all commercial banks in NY, NJ, PA, and MD between $500 million and $1.5 Deposit duration assumptions in ALCO models built for 'normal' markets simply did not hold up in recent quarters. ~ In a 200-300 model, spreads would have mostly held up.
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