A typical portfolio of customer deposits consists of current accounts, savings accounts and term deposits, each with different interest rate characteristics. We have historically observed different events that caused deposit volume to migrate between these products. We propose a method to model this behaviour using a state space model.

Maxim has a background in pure mathematics and theoretical physics. As such, he gets enthusiastic whenever he finds an excuse to apply techniques such as generating functions in his work for Rabobank and occasionally reduces the productivity of his co-workers by sharing math riddles. He currently does these things in his capacity as treasury modeller, being responsible for the development of the bank’s deposit volume models. In his free time, he enjoys reading novels, cooking and rock climbing.

Simon was born in Seoul, South Korea. He pursued his studies in econometrics in Rotterdam and furthered his education with an MPhil at the Tinbergen Institute. Simon began his professional career as a credit risk modeller for a corporate portfolio, a role he held until May 2023. Since then, he has transitioned to working as a treasury modeller. Outside of his professional life, Simon enjoys the company of his beloved cat.