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Finding NIMo

Summary

The Board of Governors of the Federal Reserve System, via the Comprehensive Capital Analysis and Review (CCAR) program, has opened up a $100+ Bn annual market in optimizing the Net Interest Margins at banks with substantial balance sheets in expected case scenarios. This note describes a novel Control Theory implementation of Net Interest Margin Optimization (NIMo) most interesting for banks with 1+ trillion dollar balance sheets and subject to CCAR regulatory reporting. We are working with Cray Computer to host this computation on a large-scale, parallel, competitive, contemporary hardware platform transitioning from AVX2 on Haswell to AVX 3.2 on Skylake.

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