| Fall 2005 UMASS
Amherst Operations Research / Management Science Seminar Series |
Date: Friday, November 4, 2005 Time: 11:00 AM Location: Isenberg School of Management, Room 112 |
| Speaker: Professor
Suresh Nair School of Business University of Connecticut Storrs, CT |
| Biography: Suresh Nair has a Ph.D. and MS
from Northwestern University and has been at the University of
Connecticut Business School since 1988, where he is currently Professor
and Ackerman Scholar. His undergraduate degree is from Indian
Institute of Technology. He has won many teaching awards and was part
of the team that won the 2002 Wagner Prize for Excellence in the
Practice of Operations Research. His research interests are in applying
optimization techniques to problems in services, manufacturing,
marketing, and finance. He has published in Management Science,
Interfaces, Naval Research Logistics, IIE Transactions, IEEE
Transactions in Engineering Management, Decision Sciences, Decision
Support Systems and European Journal of Operational Research and serves
on the Editorial Boards of Production and Operations Management and
IEEE Transactions in Engineering Management. Dr. Nair serves as the
national Chair of the Financial Services Section of INFORMS. He has
been a consultant to various companies including General Electric,
Merrill Lynch and JP Morgan Chase. |
| TITLE: A Specialized Inventory
Problem in Banks - Optimizing Sweeps |
| Abstract: Deposits held at Federal Reserve
Banks are an essential input to the business activity of most
depository institutions in the United States. Managing these
deposits is an important and complex inventory problem, for two
reasons. First, Federal Reserve regulations require that depository
institutions hold certain amounts of such deposits at the Federal
Reserve Banks to satisfy statutory reserve requirements against
customers’ transaction accounts (demand deposits and other checkable
deposits). Second, some inventory of such deposits is essential for
banks to operate one of their core lines of business: furnishing
payment services to households and firms, including wire transfers,
automated clearing house (ACH) payments, and check clearing settlement.
Because the Federal Reserve does not pay interest on such deposits used
to satisfy statutory reserve requirements, banks seek to minimize their
inventory of such deposits. In 1994, the banking industry introduced a
new inventory management tool for such deposits, the retail deposit
sweep program, which avoids the statutory requirement by reclassifying
transaction deposits as savings deposits. In this talk, we examine two
methods for operating such sweeps programs within the limits of Federal
Reserve regulations, and develop a stochastic dynamic programming model
to implement one such method, the threshold method. We will provide
details on the approach, including the data analysis required to
understand account behavior. |
| This series is organized by the
UMASS Amherst INFORMS Student Chapter. Support for this series is
provided by the Isenberg School of Management, the Department of
Finance and Operations Management, INFORMS, and the John F. Smith
Memorial Fund. For questions, please contact the INFORMS Student Chapter Representative, Ms. Tina Wakolbinger, wakolbinger@som.umass.edu |