Agenda

Agenda

Behavioural Modelling: NMDs and IRRBB - agenda

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Live virtual course | Agenda timing is in GMT

Respective HKT/SGT timing is:
Start: 4.30pm
Break 1: 5.30pm
Break 2: 6.45pm
Finish: 8pm

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08:30 – 09:30

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

  • Bias in behavioural models; examples

09:30 – 09:45

Break

15:00 - 15:15

09:45 – 10:45

Non-maturing deposit (NMD) modelling and liquidity and interest rate risk metrics

15:15 - 16:15

  • Introduction to non-maturing deposit modelling

  • Nature of IRRBB and typical metrics used

  • Overview of the literature on non-maturity deposit

  • Challenges associated with non-maturity deposit modelling

  • A framework to develop non-maturity deposit behavioural models

10:45 – 11:00

Break

15:00 - 15:15

11:00 – 12:00

Non-Maturing Deposit (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 non-maturity deposit

08:30 – 09:30

Non-Maturing Deposit (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

09:30 – 09:45

Break

15:00 - 15:15

09:45 – 10:45

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 

10:45 – 11:00

Break

15:00 - 15:15

11:00 – 12:00

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

  • Non-maturity deposit behavioural model and fund transfer pricing

  • Prepayment behavioural model and fund transfer pricing

08:30 – 09:30

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

09:30 – 09:45

Break

15:00 - 15:15

09:45 – 10:45

Application of behavioural modelling

15:15 - 16:15

  • Non-Maturity Deposit behavioural model: a two-step approach for getting stable and core amount

  • Liquidity and Interest rate risk metric sensitivity of the model

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

10:45 – 10:45

End of course

16:15 - 16:16

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