Behavioural Modelling: NMDs and IRRBB

Enhance your knowledge of behavioural models and the application of NMDs and IRRBB within your organisation

Behavioural Modelling: NMDs and IRRBB

October 17–20, 2022

Time zone: EMEA / Americas

Registration

Key reasons to attend

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

  • Focus on NMD modelling through a variety of lenses

  • Address IRRBB stress test from the behavioural modelling point of view

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Customised learning

Does your team require a tailored learning solution on this or any other topic?

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. 

FIND OUT HOW

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Develop your knowledge of the utilisation of behavioural models in financial services through this 4-day 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.   

Delivered by leading expert, Dr Matteo Formenti, 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. 

Learn how to

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

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

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

  • Understand the interaction of behavioural models and fund transfer pricing 

  • Apply practical application of behavioural modelling through case study examples

  • Gain insight on banks’ recourse behavioural models from a focused IRRBB stress test

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

Who should attend

Relevant departments may include but are not limited to: 

  • Behavioural modelling

  • Deposit modelling

  • ALM 

  • Treasury

  • IRRBB 

  • Risk management

  • Liquidity risk

Content support

For this course we have collated a selection of articles from Risk.net to supplement your learning.

Risk Training is a part of Risk.net - the world’s leading source of in-depth news and analysis on risk management, derivatives and complex finance.

View articles here

Course tutor

Dr. Matteo Formenti

Vice president

UniCredit

Dr. 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 developing the methodology. He holds a M.Sc. in Economics and a Ph.D. in Finance.

View agenda
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

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

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