Behavioural modelling and ALM

  • Treasury and capital markets risk
View Agenda

Key reasons to attend

  • Manage interest rate risk in the banking book (IRRBB) with 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

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.   


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

  • Discover how behavioural assumptions are critical to the management of IRRBB
  • Address challenges related to NMD modelling
  • Analyse NMD modelling in a negative interest rate environment
  • Manage the interest rate and credit spread risks of the banking book
  • Identify the key components in the balance sheet management process
  • 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: 

  • Behavioural modelling
  • Deposit modelling
  • Asset-liability management (ALM)
  • Treasury
  • IRRBB 
  • Risk management
  • Liquidity risk

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)  

Request detailed agenda


October 1–3, 2024

Time zones: Emea/Americas

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)  

Request 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. 
 

Pre-reading materials

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Registration

July 16–18, 2024

Online, Emea/Apac

Price

$2,999

Early-bird Price

$2,199
Ends June 14

October 1–3, 2024

Online, Emea/Americas

Price

$2,999

Early-bird Price

$2,199
Ends August 30
Book now

Enquire about:

  • Agenda and registration process
  • Group booking rates
  • Customisation of this programme
  • Season tickets options

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