Behavioural modelling: NMDs and IRRBB
View AgendaKey reasons to attend
- Explore simple and advanced approaches to non-maturity deposit (NMD) modelling
- Learn how to model the probability of loan prepayments
- Practice the theory each day with Excel spreadsheet exercises
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About the course
As financial markets become more complex and regulations more stringent, accurately predicting customer behaviour becomes increasingly vital. This course explores various behavioural modelling techniques used in treasury management, including prepayment modelling and NMD modelling.
Participants will examine the crucial role behavioural models play in managing IRRBB, optimising funding strategies and avoiding liquidity shortfalls. The training also addresses key considerations and challenges in behavioural modelling, as well as providing an understanding of model validation and stress-testing.
Attendees will leave the course with the practical skills to apply these models in their organisation and make more informed decisions that mitigate risks and enhance profitability.
What participants say:
“I thoroughly enjoyed the course and will definitely consider delving into the value-added references and literature.”
“The course is highly organised, with excellent coordination and knowledgeable speaker. Great course materials are provided.”
“I’ll recommend this course to all my colleagues. I find it really useful for both beginners and people already working in this area, as there are so many industry insights. Matteo is a great speaker, engaging and clearly explaining the topics. I also appreciate organiser’s work; it was all well coordinated.”
Pricing options*:
- Early-bird rate: save up to $800 per person by booking in advance
- 3-for-2 rate: save over $3,000 by booking a group of three attendees
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber
- Season tickets: cost-effective option for groups of 10 or more. Learn more
*T&Cs apply
Learning objectives
- Understand the role of behavioural models in funds transfer pricing (FTP)
- Develop validation techniques for behavioural models
- Explore behavioural assumptions in managing interest rate risk in the banking book (IRRBB)
- Apply behavioural modelling to assess liquidity and interest rate risks
- Use behavioural models in stress-testing scenarios
- Discuss how to build an internal funding framework
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
January 20–22, 2026
Live online. Time zones: Emea/Americas
June 23–25, 2026
Live online. Time zones: Emea/APAC
Tutors
Matteo Formenti Risk Learning Faculty
Asset-liability management expert
Mediobanca
Dr Formenti was previously Head of the Fund Transfer Pricing team atUniCredit. He used to be a banking book trader for IRR management, and an expert of behavioural models used in ALM in Group Finance. He has also five years of experience modelling market (VaR, SVaR), counterparty credit risk (back-testing, stress testing and general Wrong Way Risk), liquidity risk (ALM behavioural models) and credit VaR (structural Merton model for ICAAP).
He is currently an external professor of asset management (Master and PhD) at Liuc University, Castellanza and of market risk at MPI (Politecnico, Milano). He has previous teaching experience at HEC, Paris and Tor Vergata, Rome. He is a frequent speaker for Risk Learning on the topic of behavioural modelling.
Pre-reading materials
Brows through the Risk.net resources to enhance your learning experience:
- A Guide to Behavioural Modelling
- Interest rate risk
- Asset and liability management (ALM)
- Market risk modelling
A Risk.net subscription will provide you access to the content. Alternatively, register for free to read two articles.
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