Agenda

Agenda

Behavioural Modelling: NMDs and IRRBB - agenda

Live virtual course | Agenda timing is in GMT/EST

Start: 2pm GMT / 9am EST
End: 4.15pm GMT/ 11.15am EST


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

  • Bias in behavioural models; examples

Carolus Reinecke

Quantitative analyst

Barclays

15:0015:15

Break

15:00 - 15:15

15:1516:15

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

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

14:0015:00

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

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.

15:0015:15

Break

15:00 - 15:15

15:1516:15

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

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.

14:0015:00

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 

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.

15:0015:15

Break

15:00 - 15:15

15:1516:15

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

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.

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

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.

15:0015:15

Break

15:00 - 15:15

15:1516:15

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

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.

16:1516:15

End of course

16:15 - 16:16