Behavioural modelling: NMDs and IRRBB

  • 3 days
  • Treasury & capital markets risk
  • 8 CPD points
View Agenda

Key reasons to attend

  • Gain the skills needed for the successful application of behavioural models 

  • Focus on non-maturing deposit (NMD) modelling through a variety of lenses

  • Address interest rate risk in the banking book (IRRBB) stress-testing from the behavioural modelling point of view

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Customised solutions

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Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review. 

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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/interest rate metric challenges makes ensuring best practice in behavioural models paramount within the treasury function.   

Delivered by leading expert and 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, as well as a live workshop to demonstrate theory in real time. 

Learning objectives

  • Identify the behavioural assumptions applied in the successful management of IRRBB

  • Describe best practices for developing a framework for NMD behavioural models

  • Access the impact of a low-rate environment on model behaviour 

  • Understand the interaction of behavioural models and fund transfer pricing (FTP

  • Apply the practical applications of behavioural modelling through case study examples

  • Discuss how to 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: 

  • Behavioural modelling

  • Deposit modelling

  • Asset-liability management (ALM)

  • Treasury

  • IRRBB 

  • Risk management

  • Liquidity risk

Agenda

April 24–26, 2023

Time zones: Emea / Americas 

Sessions:

  • Introduction to IRRBB and the role of behavioural models

  • NMD modelling and liquidity and interest rate risk metrics

  • NMD modelling − based and advanced modelling

  • NMD modelling for ALM and balance sheet optimisation

  • Prepayment models

  • Behavioural models and fund transfer pricing

  • Behavioural models validation and stress testing IRRBB

  • Application of behavioural modelling

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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:

  • 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

Registration

April 24 - 26, 2023

02:00 pm - 05:00 pm

Virtual

Price

$2,199

Earlybird Price

$1,799
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Enquire about:

  • Agenda and registration process
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  • Customisation of this programme
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