Behavioural Modelling: NMDs and IRRBB

Build on your knowledge of managing and developing behavioural modelling through practical examples of NMDs and IRRBB models.

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Behavioural Modelling: NMDs and IRRBB

March 16–18, 2021 | Live Virtual

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Developed in conjunction with subject-matter expert Dr Matteo Formenti around the book ‘ A guide to behavioural modelling’, this course will give participants an in-depth look into the attributes, management and development of behavioural models and their applications within ALM, FTP and liquidity risk.

Participants will have the opportunity to explore the roles and functions of NMD modelling and IRRBB within the balance sheet through peer-peer discussion and practical examples. Sessions will focus on the successful implementation and utilisation of behavioural modelling and the challenges which are associated.

This course will enhance participants understanding of best practice approaches for behavioural modelling as well as biases in behavioural modelling and frameworks for NMDs and IRRBB modelling.

With a small group activity in the final session, this course will allow delegates to support the theory discussed using real world examples. 

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What will you learn?

  • Typical challenges associated with behavioural modelling and its attributes

  • What behavioural assumptions are necessary in the management of IRRBB

  • Identify the role of NMD modelling for ALM and balance sheet optimisation

  • Recognise how prepayment models are implicated by liquidity and interest rate risk management 

  • Understand how behavioural modelling, NMD modelling and funds transfer pricing interact

  • The practical application of behavioural modelling through small interactive group activity 

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Who should attend?

Relevant departments may include but are not limited to: 

  • Behavioural modelling
  • Deposit modelling
  • ALM 
  • Treasury
  • IRRBB 
  • Risk management
  • Liquidity risk
     
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Sessions include

  • 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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Pricing options

We offer flexible pricing options for this course:

  • Early bird rates - save up to $500

  • Group booking rate - save over $1500

  • Subscribe to receive Risk Training updates and avoid missing out on additional savings 

Course tutor

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Dr Matteo Formenti

FTP (fund transfer pricing) team manager

UniCredit

Matteo Formenti joined the Group Internal Validation in the Market Risk Unit of UniCredit in 2013 working on validating the Market, CCR, ALM, IFRS-13 and Pillar II internal models. Previously he worked for 3 years in Deloitte Consulting developing the methodology. He holds a M.Sc. in Economics and a Ph.D. in Finance.

Live Virtual training courses

 

Our live virtual training courses have been designed to engage and inspire you. Much more than a webinar, our approach includes:

  • Technical content compressed into 60-minute interactive sessions and spread out over two, three or four days

  • Facilitated collaboration including Q&A, interactive polling and group workshops

  • Live interaction with subject matter experts – get your questions answered in real time

  • Receive comprehensive course materials and supporting content from Risk.net to reinforce your learning

  • Stay connected with other learners and extend your network by joining our dedicated LinkedIn group for course participants

This course [Behavioural Modelling: NMDs and IRRBB] provides a holistic overview of the behavioral modelling topic in ALM and IRRBB with a lot of examples of different markets and economies and their effects on banking book items and clients behaviour
Ssberbank
I would highly recommend taking advantage of the training opportunities offered: presenters were knowledgeable, engaging and the seminars were well organised
A participant from the Bank of Jamaica
Very comprehensive and in-depth course
BNY Mellon
Very interactive training that can provide trainees with very useful insights and with a great sharing of different experiences
A participant from the Bank of Italy
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