Category: Finance & Banking Algorithms
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How Bank Branches Use Queueing Algorithms to Staff Service: Arrival Rates, Erlang C, Abandonment, Forecasting and Workforce Scheduling
A mathematical guide to bank-branch queueing: arrival and service rates, M/M/c and Erlang C, Little’s Law, abandonment, time-varying demand, skill routing, forecasting and staffing optimisation.
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How Credit Underwriting Models Learn from Accepted Applicants: Reject Inference, Selection Bias, Missing Labels, Policy Drift and Validation
A mathematical guide to reject inference and selection bias in credit underwriting: accepted-only labels, missing-not-at-random outcomes, augmentation, parceling, EM models, policy drift and validation.
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How Securitisation Waterfall Algorithms Allocate Cash and Losses: Tranches, Credit Enhancement, Prepayments, Defaults and Triggers
A mathematical guide to securitisation waterfalls: asset pools, tranches, seniority, scheduled cash flows, prepayments, defaults, credit enhancement, loss allocation, triggers and scenario simulation.
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How Securities Settlement Algorithms Move Trades from Execution to Finality: Matching, Affirmation, Netting, DVP, T+1 and Settlement Fails
A mathematical guide to securities settlement: matching, allocation and affirmation, netting, delivery-versus-payment, liquidity, T+1 timing, partial settlement, fails and verification.
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How Banks Forecast ATM Cash Demand and Replenishment: Seasonality, Time-Series Models, Service Levels, Inventory Costs and Routing Optimisation
A mathematical guide to ATM cash management: withdrawal forecasting, seasonality, safety stock, service levels, inventory costs, replenishment timing, clustering and route optimisation.
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How Banks Forecast Loan Delinquency and Cure: Roll Rates, Transition Matrices, Vintage Curves, Cure Rates and Recovery Workflows
A mathematical guide to loan delinquency forecasting: days-past-due states, roll rates, cure rates, transition matrices, vintage curves, hazard models, charge-offs, recoveries and model validation.
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How Banks Model Revolving Credit Utilisation: Credit Limits, Drawdowns, Credit Conversion Factors, Exposure at Default and Line Management
A mathematical guide to revolving-credit utilisation: limits, drawn and undrawn balances, credit conversion factors, exposure at default, drawdowns before default, stress behaviour and credit-line management.
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How Banks Stress-Test Capital Under Macroeconomic Scenarios: PPNR, Credit Losses, Balance-Sheet Projections, RWA and Stress Capital Buffers
A mathematical guide to bank capital stress testing: macroeconomic scenarios, PPNR, credit losses, balance-sheet projections, risk-weighted assets, CET1 paths, reverse stress testing and stress capital buffers.
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How Banks Construct Interest-Rate Hedges: Duration Gaps, Key-Rate Sensitivities, Swaps, Basis Risk and Hedge Effectiveness
A mathematical guide to bank interest-rate hedge construction: duration gaps, DV01/key-rate sensitivities, interest-rate swaps, natural hedges, basis risk, optionality and hedge effectiveness.