Behavioural modelling: NMDs and IRRBB
View AgendaKey reasons to attend
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Gain the skills needed for the successful application of behavioural models
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Focus on NMD modelling through a variety of lenses
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Address IRRBB stress test from the behavioural modelling point of view
Customised solutions
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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.
Deep-dive into non-maturing deposit modelling (NMD) and IRRBB, learn the skills needed for the successful application of these behavioural models for ALM and balance sheet optimisation, fund transfer pricing, and prepayment models. The impact of low interest rates, and liquidity/interest rate metrics challenges makes ensuring best practice in behavioural models paramount within the treasury function.
This course will explore in detail the key considerations and challenges when using behavioural models. Interactive, practical case study examples will support participants’ understanding as well as a live workshop to demonstrate theory in real-time.
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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Assess the impact of a low-rate environment on model behaviour
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Understand the interaction of behavioural models and fund transfer pricing
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Apply practical application of behavioural modelling through case study examples
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Gain insight on banks’ recourse behavioural models from a focused IRRBB stress test
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Explain the impact of a low-rate environment on model behaviour
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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ALM
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Treasury
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IRRBB
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Risk management
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Liquidity risk
Agenda
October 17–18, 2022
Time zones: Emea / Apac
Start time: 08:30 BST / 15:30 HKT
Finish time: 13:15 BST / 20:15 HKT
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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 ALM and balance sheet optimisation
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Prepayment models
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Behavioural models and fund transfer pricing
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Behavioural models validation and stress testing IRRBB
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Application of behavioural modelling
Tutors
- Dr. Matteo Formenti, Vice president, UniCredit
Accreditation
This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
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A Guide to Behavioural Modelling
Read book -
When the data’s not there, expert-led models could help
Read article -
French banks cry foul over EBA’s 2020 stress-test plan
Read article -
Estimating maturity profiles of non-maturing deposits
Read article
To access some of the above articles you need to have a current subscription to Risk.net. If you don’t have one now, please subscribe to a free trial
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