A Guide to Behavioural Modelling

Discipline:  Quantitative Analysis, Regulation, Investing

No of pages: 596

First published:

ISBN: 978-1-78272-404-9

Client behaviour deeply affects a bank’s liquidity, funding, interest rate position and, consequently, the management of its asset/liability mismatch and related profitability. Therefore, it is imperative that risk managers and modellers alike understand how to model client behaviour according to the needs of their business. It is the aim of this book to improve that understanding and highlight modelling techniques from the simple through to the complex, offering a broad suite of tools to improve the management of an institution’s balance sheet.

Matteo Formenti and Umberto Crespi of UniCredit Group have gathered together chapter authors from across the globe who are all experts in their field. This book will aim to explain in a simple and effective way how it is possible to model client behaviour for the proper management of an institution’s balance sheet, and to expand readers’ knowledge of the drivers behind behavioural models.

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