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 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 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.
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 leading expert and Risk Learning’s faculty member, 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.
Flexible pricing options:
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Early bird rate - book in advance and save $200
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3for2 group rate - book 3 delegates for the price of 2 and save over $2000
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Season Tickets - book a team of 10 or more and save up to 50%
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 24–26, 2023
Time zones: Emea / Americas
Start time: 13.15 GMT / 08.15 EST
Finish time: 17.00 GMT / 12.00 EST
Sessions:
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Introduction to interest rate risk in the banking book (IRRBB) and the role of behavioural models
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Non-maturity deposit (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 funds transfer pricing (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
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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