Agenda

Agenda

Behavioural Modelling: NMDs and IRRBB - agenda

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Live virtual course | Below agenda timing is in BST

Respective time in EST:

Start: 2pm BST | 9am EST
Break 1: 3pm BST| 10am EST
Break 2: 4.15pm BST| 11.15am EST
End: 5.30pm BST | 12.30pm EST

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14:0015:00

Introduction to IRRBB and the role of behavioural models

14:00 - 15:00

  • IRRBB governance: current and future topics

  • The stakeholders of behavioural models

  • Behavioural assumptions in the management of IRRBB

  • ECB overview inspection: the stress test on IRRBB and implications on behavioural models

  • Statistical analysis of historical data

  • Examples of bias in behavioural models

15:0015:15

Break

15:00 - 15:15

15:1516:15

NMD modelling and liquidity and interest rate risk metrics

15:15 - 16:15

  • Introduction to NMD modelling

  • Nature of IRRBB and typical metrics used

  • Overview of the literature on NMDs

  • Challenges associated with NMD modelling

  • A framework to develop NMD behavioural models

16:1516:30

Break

15:00 - 15:15

16:3017:30

NMD modelling − based and advanced modelling

14:00 - 15:00

  • Historical vs. stochastic based approach to estimate the stable and core volume for liquidity and interest rate risk management

  • Simple and advanced measure of volume and interest rate pass-through

  • A financial wealth allocation approach

  • A macro-economic integrated approach for modelling NMDs

14:0015:00

NMD modelling for ALM and balance sheet optimisation

15:15 - 16:15

  • The replicating portfolio as a measure of expected profitability

  • NMD modelling in a low/negative interest rate environment 

  • Interest rate risk figures in a low/negative interest rate environment: floor option

15:0015:15

Break

15:00 - 15:15

15:1516:15

Prepayment models

14:00 - 15:00

  • The prepayment modelling: non-parametric and parametric approach

  • Evaluate prepayment behavioural models for IRRBB

    •  What are their main components?

    • External and internal needs for prepayment modelling

  • Examine the impact of prepayment options on the duration of assets

  • Discuss prepayments in a low rate environment and expected changes if interest rates increase

  • The implication for liquidity and interest rate risk management 

16:1516:30

Break

15:00 - 15:15

16:3017:30

Behavioural models and fund transfer pricing

15:15 - 16:15

  • Building your internal funding framework 

  • FTP as an interest rate risk management and a profitability management tool 

  • Governance / accountability requirements 

  • Behavioural models and fund transfer pricing

  • NMD behavioural model and fund transfer pricing

  • Prepayment behavioural model and fund transfer pricing

14:0015:00

Behavioural models validation and stress testing IRRBB

14:00 - 15:00

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

  • Regulatory overview

  • The validation of behavioural models

  • Behavioural models and the IRRBB stress test: scenario vs. parameters

15:0015:15

Break

15:00 - 15:15

15:1516:15

Application of behavioural modelling

15:15 - 16:15

  • NMD behavioural models: a two-step approach for getting stable and core amount

  • Liquidity and interest rate risk metric sensitivity of the model

  • Testing the need of the model: output vs. parameter

16:1516:15

End of course

16:15 - 16:16