Behavioural modelling: NMDs and IRRBB
View AgendaKey reasons to attend
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Gain the skills required to apply behavioural models
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Focus on non-maturing deposit (NMD) modelling through a variety of lenses
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Address interest rate risk in the banking book (IRRBB) stress-testing from a behavioural modelling point of view
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About the course
Develop your knowledge of the utilisation of behavioural models in financial services through this practitioner-led learning event.
With deep dives into NMD modelling and IRRBB, learn the skills required for the successful application of these behavioural models for ALM and balance sheet optimisation, FTP and prepayment models. The impact of low interest rates and liquidity and interest rate metric challenges makes ensuring best practice in behavioural models’ paramount within the treasury function.
Delivered by the leading expert, this course will explore in detail the key considerations and challenges when using behavioural models. Interactive practical case study examples will support participants’ understanding, and a live workshop will demonstrate theory in real time.
Avoid price increase: book 2024 courses at 2023 prices
- The rate is locked at $1,999 and will save you $1,000*
- To book, register by December 31, 2023 using promo code LOCK23
Learning objectives
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Identify the behavioural assumptions applied in the successful management of IRRBB
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Describe best practices for developing a framework for NMD behavioural models
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Access the impact of a low-rate environment on model behaviour
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Understand the interaction of behavioural models and fund transfer pricing (FTP)
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Apply the practical applications of behavioural modelling through case study examples
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Gain insight on banks’ recourse behavioural models from a focused IRRBB stress test
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
April 17–19, 2024
Time zones: Emea/Americas
Sessions:
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Introduction to IRRBB and the role of behavioural models
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NMD modelling and liquidity, and interest rate risk metrics
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NMD modelling: based and advanced modelling
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NMD modelling for asset-liability management and balance sheet optimisation
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Prepayment models
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Behavioural models and FTP
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Behavioural models validation and stress-testing IRRBB
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Application of behavioural modelling
Tutors
Matteo Formenti Risk Learning Faculty
Vice-president and senior ALM expert
UniCredit
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