Behavioural Modelling: NMDs and IRRBB

Expand your knowledge of behavioural modelling with an in-depth focus on application, development and management of IRRBB and NMD models

Risk training - Global business training in Risk
RT Virtual

Behavioural Modelling: NMDs and IRRBB

November 2–5, 2020 | Live online

View agenda Apply to attend

This course has been developed to provide participants a deep dive into behavioural modelling, with an exploration of NMD modelling and IRRBB and their role in the balance sheet.

During this course, participants will be shown the practical application of behavioural models and how these can be successfully implemented and utilised. Sessions will cover applied examples of NMD modelling, IRRBB and how to incorporate behavioural modelling with liquidity risk, ALM and FTP. 

Interactive 60-minute presentations are spread over four days to facilitate discussion between participants and course leaders and to ensure maximum engagement with the technical content explored during this course.

This course has been developed around the book ‘ A guide to behavioural modelling’ by Dr Matteo Formenti. Participants will be able to interact with our expert speakers and discuss the topic in more detail. [107]
 

Thumbnail
What will you learn?
  • Attributes of IRRBB and characteristic metrics employed
  • In depth look at how NMD modelling behaves with IRRBB
  • Utilisation of different behavioural models for liquidity risk, ALM and FTP
  • Pros and cons of classic and new approaches to NMD modelling
  • Typical challenges associated with behavioural modelling
  • Practical application of behavioural modelling 
     
Thumbnail
Who should attend?

Relevant departments may include but are not limited to: 

  • Behavioural modelling
  • Deposit modelling
  • ALM 
  • Treasury
  • IRRBB 
  • Risk management
  • Liquidity risk
     
Thumbnail
Sessions include
  • Introduction to IRRBB and the role of behavioural models
  • Non-maturing deposit (NMD) modelling and liquidity and interest rate risk metrics 
  • Non-Maturing Deposit (NMD) modelling – Based and Advanced Modelling 
  • Non-Maturing Deposit (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 
Online training

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

Course speakers

Carolus Reinecke

Quantitative analyst

Barclays

Thumbnail
Emil Avsar

Senior VP

Barclays

Emil has a PhD in Theoretical High-Energy Physics from Lund University, Sweden. After his PhD, he spent around 5 years as research associate at academic institutions, before joining a Hedge Fund and then joining  Barclays in 2015. He currently holds a position as a senior VP at the Quantitative Analytics Asset and Liability Management team at Barclays in London, and focuses mainly on the modelling of Liabilities in the Customer Banking Book for the purposes of liquidity and interest rate risk management.  He has in particular led the efforts to develop statistical models for Non-Maturity Deposits in Corporate, Business and Retail Banking. He has close to thirty publications combined in theoretical physics and quantitative finance over the years

Thumbnail
Francesco Frascarelli

Senior Associate - FTP, ALM & Behavioral Models for IRRBB

UniCredit

Francesco Frascarelli, MsC in  Mathematical Finance at University of Perugia, is an expert in ALM with 7 years of experiences worked as developer of behavioral models for the measurement of IRR and of FTP methodologies for the strategic management of the balance sheet.

Currently he is working for UniCredit Group in Group Finance Department, and he is charge of Operational ALM and FTP.

Thumbnail
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.

Besides the excellent presentations, I learnt even more from the participants - The best training ever.
Budgeting and Financial Reporting Department, Bank of Tanzania
Course was passionately led by practitioner's with expert knowledge in the field
Peoples Trust Company
The courses are tailored to the knowledge level of the audience. This ensures that all attendees get the maximum benefit from the course.
Canada Life
This course offered well-put together resources and well-thought through course content, with clearly knowledgeable presenters who care about the subject.
HM Treasury
The virtual training provided a superb solution to the challenges brought about by the global coronavirus pandemic
Robbie Sargent, Operational Risk Advisor, Fitch Group
You really made the effort to organize a virtual training in a good format, in order to replace the already planned trainings
Floor van der Laarse, Operational Risk Advisor, FMO NV
The fact that I can attend the course without travelling not only because of the current situation but also for time and activity constraints
Andres Mora, Lecturer, Uniandes
Thumbnail
Not the course for you?

Risk Training offers a great selection of courses in finance, risk management, regulation and derivatives across North America, Asia and Europe for you to choose from.

View all courses