Agenda
Agenda
Behavioural Modelling: NMDs and IRRBB
Course agenda
08:30 – 09:30
Introduction to IRRBB and the role of behavioural models
14:00 - 15:00
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IRRBB governance: current and future topics
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The stakeholders of behavioural models
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Behavioural assumptions in the management of IRRBB
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ECB overview inspection: the stress test on IRRBB and implications on behavioural models
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Statistical analysis of historical data
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Examples of bias in behavioural models
09:30 – 09:45
Break
15:00 - 15:15
09:45 – 10:45
NMD modelling and liquidity and interest rate risk metrics
15:15 - 16:15
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Introduction to NMD modelling
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Nature of IRRBB and typical metrics used
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Overview of the literature on NMDs
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Challenges associated with NMD modelling
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A framework to develop NMD behavioural models
08:30 – 09:30
NMD modelling − based and advanced modelling
14:00 - 15:00
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Historical vs. stochastic based approach to estimate the stable and core volume for liquidity and interest rate risk management
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Simple and advanced measure of volume and interest rate pass-through
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A financial wealth allocation approach
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A macro-economic integrated approach for modelling NMDs
09:30 – 09:45
Break
15:00 - 15:15
09:45 – 10:45
NMD modelling for ALM and balance sheet optimisation
15:15 - 16:15
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The replicating portfolio as a measure of expected profitability
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NMD modelling in a low/negative interest rate environment
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Interest rate risk figures in a low/negative interest rate environment: floor option
08:30 – 09:30
Prepayment models
14:00 - 15:00
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The prepayment modelling: non-parametric and parametric approach
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Evaluate prepayment behavioural models for IRRBB
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What are their main components?
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External and internal needs for prepayment modelling
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Examine the impact of prepayment options on the duration of assets
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Discuss prepayments in a low rate environment and expected changes if interest rates increase
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The implication for liquidity and interest rate risk management
09:30 – 09:45
Break
15:00 - 15:15
09:45 – 10:45
Behavioural models and fund transfer pricing
15:15 - 16:15
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Building your internal funding framework
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FTP as an interest rate risk management and a profitability management tool
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Governance / accountability requirements
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Behavioural models and fund transfer pricing
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NMD behavioural model and fund transfer pricing
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Prepayment behavioural model and fund transfer pricing
08:30 – 09:30
Behavioural models validation and stress testing IRRBB
14:00 - 15:00
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Insight on banks’ recourse behavioural models from a focused IRRBB stress test
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Regulatory overview
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The validation of behavioural models
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Behavioural models and the IRRBB stress test: scenario vs. parameters
09:30 – 09:45
Break
15:00 - 15:15
09:45 – 10:45
Application of behavioural modelling
15:15 - 16:15
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NMD behavioural models: a two-step approach for getting stable and core amount
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Liquidity and interest rate risk metric sensitivity of the model
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Testing the need of the model: output vs. parameter
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