Agenda

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

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

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 

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

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

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