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I’m designing a stress test at a commercial bank. What are the advantages/disadvantages of forecasting core NMD deposits vs. total deposit balances?

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  • $\begingroup$ The most obvious advantage is that you will need to be able to separate core NMDs for the Basel capital framework’s Pillar 2 used for Interest rate risk in the banking book (IRRBB) or the current QIS study in Europe. Insofar, you may simply have to use core NMDs. $\endgroup$ Commented Feb 21, 2022 at 19:19

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