Behavioural modelling: NMDs and IRRBB
View AgendaKey reasons to attend
- Manage interest rate risk in the banking book (IRRBB) using behavioural models
- Explore various approaches to non-maturity deposit (NMD) modelling
- Acquire the practical skills to apply prepayment models
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About the course
As financial markets become more complex and regulations more stringent, accurately predicting customer behaviour and the impact on the balance sheet becomes increasingly vital. This course offers a thorough exploration of behavioural modelling, focusing on diverse NMD and prepayment models.
Participants will examine the crucial role of behavioural models in managing IRRBB and explore the driving factors behind these models. The course addresses key considerations and challenges in behavioural modelling, as well as providing participants with an understanding of model validation and stress-testing. An emphasis is placed on analysing the influence of these models on FTP decisions.
Attendees will leave the course with the practical skills to apply these models in ALM and enhance strategic decision-making in their organisation.
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Learning objectives
- Optimise asset-liability management (ALM) with NMD modelling
- Examine the role of behavioural models in funds transfer pricing (FTP)
- Apply models to diverse interest rate environments
- Analyse the impact of prepayment options on IRRBB
- Use behavioural models in stress-testing scenarios
- Gain insights into behavioural model validation
Who should attend
Relevant departments may include but are not limited to:
- Behavioural modelling
- Deposit modelling
- ALM
- Treasury
- IRRBB
- Risk management
- Liquidity risk
- Finance and strategy planning
- Product development
Agenda
February 11–13, 2025
Live online. 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: based and advanced modelling
- Applying simple NMD modelling
- Advanced deposit modelling and balance sheet optimisation
- Simple prepayment models
- Application of simple prepayment models
- Behavioural models and funds transfer pricing (FTP)
- Behavioural models validation and stress-testing IRRBB
April 1–3, 2025
Live online. Time zones: Emea/Americas
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- A Guide to Behavioural Modelling
- Risk modellers navigate fearful new world of depositor behaviour
- Bank runs prompt rethink of IRRBB deposit models
- Estimating maturity profiles of non-maturing deposits
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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