Behavioural Modelling: NMDs and IRRBB

Expand 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

December 6–9, 2021| Live Virtual

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This 4-day in-depth course has been developed and updated, working closely with subject-matter expert Dr Matteo Formenti. Participants will explore the key frameworks, management, and progression of behavioural models, looking from an ALM, FTP and liquidity risk point of view.

There will be a focus on NMD modelling and IRRBB through a variety of lenses in relation to behavioural models through peer-to-peer discussion opportunities, practical examples, and case studies. As well as the successful employment of behavioural modelling, Dr Formenti will also delve into the correlated challenges.

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. 
 

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What will you learn?

  • Behavioural assumptions in the management of IRRBB

  • Challenges associated with non-maturity deposit modelling

  • External and internal needs for prepayment modelling

  • Behavioural models and fund transfer pricing

  • Behavioural models and the IRRBB stress test

  • Liquidity and Interest rate risk metric sensitivity of the model

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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

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.

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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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