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This paper builds a multivariate L\'evy-driven Ornstein-Uhlenbeck process forthe management of non-maturing deposits, that are a major source of funding forbanks. The contribution of the paper is both theoretical and operational. Onthe theoretical side, the novelty of this model is to include three independentsources of randomness in a L\'evy framework: market interest rates, depositrates and deposit volumes. The choice of a L\'evy background driving processallows us to model rare but severe events. On the operational side, we proposea procedure to include severe volume outflows with positive probability infuture scenarios simulation, explaining its implementation with an illustrativeexample using Italian banking sector data.

Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework