Behavioural modelling: NMDs and IRRBB

A more complex financial market necessitates a deeper understanding and a more accurate prediction of customer behaviour as it directly shapes an organisation’s risk, funding and profitability outcomes. This course explores various behavioural modelling techniques used in treasury management, including prepayment and NMD modelling, equipping participants with the tools to translate customer behaviour into actionable risk metrics.  

Participants will examine the crucial role behavioural models play in managing IRRBB, optimising funding strategies and avoiding liquidity shortfalls. The training also addresses governance, validation and stress-testing, helping participants to understand how model performance is assessed and challenged within a risk management framework.  

Through hands on application of behaviour models to sample datasets, assessing the impact of customer behaviour on interest rate and liquidity risk exposures and utilising FTP as a tppl for interest rate risk management, participants will   will leave the course with the practical skills to apply these models in their organisation. 

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.”