Behavioural modelling and ALM

  • Treasury and capital markets risk
View Agenda

Key reasons to attend

  • Manage interest rate risk in the banking book (IRRBB) using behavioural models 
  • Examine various approaches to non-maturity deposit (NMD) modelling 
  • Explore behavioural treatment of term loans for asset-liability management (ALM)

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About the course

As financial markets become more complex and regulations more stringent, accurately predicting customer behaviour and its impact on the balance sheet becomes increasingly vital. This course offers a thorough exploration of behavioural modelling, with a focus on NMDs. 

Participants will examine the crucial role these models play in managing IRRBB, uncovering key drivers behind them. This training addresses key considerations and challenges in behavioural modelling, alongside a comprehensive understanding of related ALM topics, including liquidity risk and CSRBB frameworks. An emphasis is placed on analysing the influence of these models on FTP decisions.  

Through ongoing case studies in Excel, attendees will develop the practical skills needed to apply behavioural models for ALM and enhance strategic decision-making within their organisations.  


Pricing options:

  • Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
  • 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
  • Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber (use code SUB30)
  • Season tickets: save over $1,000 per person by booking 10 or more tickets (available on selection of courses)

Learning objectives

  • Address challenges related to NMD modelling
  • Manage the interest rate and credit spread risks of the banking book (CSRBB)
  • Identify key components in the balance sheet management process
  • Examine the role of behavioural models in funds transfer pricing (FTP
  • Understand how to integrate the management of liquidity and interest rate risks for enhanced efficiency
  • Improve understanding of key concepts with Excel case studies

Who should attend

Relevant departments may include but are not limited to: 

  • Behavioural modelling
  • Deposit modelling
  • Asset-liability management (ALM)
  • Treasury
  • IRRBB 
  • Risk management
  • Liquidity risk
  • Finance and strategy planning
  • Product development

Agenda

July 16–18, 2024

Time zones: Emea/Apac 

Sessions:

  • Introduction to interest rate risk in the banking book (IRRBB) and the role of behavioural models
  • Non-maturity deposit (NMD) modelling and liquidity, and interest rate risk metrics
  • NMD modelling: based and advanced modelling
  • IRRBB and credit spread risk in the banking book (CSRBB) framework 
  • Liquidity risk framework
  • Integrated balance sheet management framework
  • Behavioural treatment of NMDs for asset-liability management (ALM)
  • Behavioural treatment of term loans/deposits and equity for ALM
  • Behavioural models and fund transfer pricing (FTP)  

Tutors:

  • Dr Beata Lubinska, Treasurer, Allica Bank 
  • Giovanni Campo, Head of ALM and liquidity risk competence, Prometeia

View detailed agenda

Tutors

Beata Lubinska Risk Learning Faculty

Treasurer

Allica Bank

View bio

Beata’s background is strongly focused on Interest Rate Risk in the Banking Book (“IRRBB”), Balance Sheet Management, Funds Transfer Pricing (FTP) and behavioural modelling for banks asset liability management purposes. She has spent most of her career managing IRRBB and FTP  for a number of financial institutions.

Currently she leads Treasury department at Allica Bank in London. In her previous position she was a Head of the Market and Liquidity Risk Department in MeDirect Group in London with the main focus on IRRBB, Market Risk and Balance Sheet Management. Beata is also a member of the BTRM Faculty founded by Professor Moorad Choudhry in London.

Beata holds a PhD in Finance from Wroclaw University of Economics. Her research publications have enjoyed strong reviews by academics and industry practitioners.
Beata is an author of the book “Asset Liability Management Optimization – A practitioner’s guide to balance sheet management and remodelling” published by Wiley & Sons Ltd in London and “Interest Rate Risk in the Banking Book: A best Practice Guide to management and hedging”.
In addition, Beata is actively providing trainings for professionals from the banking industry in Latvia, Poland, UK and in the US.

Her main areas of specialization include: Funds Transfer Pricing, Interest Rate Risk in the Banking Book, Asset Liability Management and Balance Sheet management through FTP and optimization.
AP), regulatory engagement as well as running training programs for new joiners to the treasury teams

Giovanni Campo Risk Learning Faculty

Head of asset-liability management and liquidity risk competence line international markets

Prometeia

View bio

Giovanni is associate partner and head of asset liability management (ALM) and liquidity risk competence line for international markets at Prometeia. 
Subject matter expert in balance sheet management and treasury risks, he has developed a deep experience in interest rate risk of the banking book and credit spread risk of the banking book, behavioural models, fund transfer pricing and hedge accounting. 
Currently leading commercial initiatives and delivery projects of ALM and balance sheet risks solutions of the International Risk Practice.
Recent assignments include major banking groups in Germany, Luxembourg, Austria, Greece, Cyprus, Romania, Moldova and Turkey. 
 

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