Behavioural modelling and ALM
View AgendaKey reasons to attend
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Manage interest rate risk in the banking book (IRRBB) with behavioural models
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Examine various approaches to non-maturity deposit (NMD) modelling
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Explore behavioural treatment of term loans for asset-liability management (ALM)
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About the course
This interactive learning event explores the role of behavioural models in the ALM space, with a particularly in-depth focus on NMD modelling. The expert instructors will provide insights into managing the key challenges of behavioural models and important considerations to make for practitioners.
Participants will gain a solid understanding of how behavioural modelling informs FTP decisions, looking at NMDs, term loans and equity investments. Q&A sessions and case studies will be incorporated into the sessions to ensure participants leave the course with a comprehensive understanding of behavioural modelling and the skills to apply learned concepts to their own risk management practices.
Flexible pricing options:
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Early-bird rate: book in advance and save $200
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3-for-2 group rate: book three delegates for the price of two and save more than $2,000
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Season tickets: book a team of 10 or more and save up to 50%
Learning objectives
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Discover how behavioural assumptions are critical to the management of IRRBB
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Address challenges related to NMD modelling
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Analyse NMD modelling in a negative interest rate environment
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Manage the interest rate and credit spread risks of the banking book
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Identify the key components in the balance sheet management process
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Examine the role of behavioural models in funds transfer pricing (FTP) as a tool for interest rate risk management.
Who should attend
Relevant departments may include but are not limited to:
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Behavioural modelling
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Deposit modelling
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Asset-liability management (ALM)
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Treasury
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IRRBB
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Risk management
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Liquidity risk
Agenda
October 2–4, 2023
Time zones: Emea/Americas
Sessions:
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Introduction to interest rate risk in the banking book (IRRBB) and the role of behavioural models
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Non-maturity deposit (NMD) modelling and liquidity, and interest rate risk metrics
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NMD modelling: based and advanced modelling
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IRRBB and credit spread risk in the banking book (CSRBB) framework
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Liquidity risk framework
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Integrated balance sheet management framework
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Behavioural treatment of NMDs for asset-liability management (ALM)
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Behavioural treatment of term loans/deposits and equity for ALM
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Behavioural models and fund transfer pricing (FTP)
Tutors
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Dr Beata Lubinska, Treasurer, Allica Bank
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Giovanni Campo, Head of ALM and liquidity risk competence line for international markets (Europe), Prometeia
Pre-reading materials
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