Behavioural Modelling: NMDs and IRRBB

Expand your knowledge of behavioural modelling with an in-depth focus on application, development and management of IRRBB and NMD models.

Behavioural Modelling: NMDs and IRRBB

May, 2020

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01 May 2020
2020-05-01 08:30:00 +0100

About the course

This course has been developed to provide participants with a deep dive into behavioural modelling, with an exploration of NMD modelling and IRRBB and their role in the balance sheet.

During this course, participants will be shown the practical application of behavioural models and how these can be successfully implemented and utilised. Sessions will cover applied examples of NMD modelling, IRRBB and how to incorporate behavioural modelling with liquidity risk, ALM and FTP.

This course has been developed around the book ‘A guide to behavioural modelling’ by Dr Matteo Formenti. Participants will be able to interact with our expert speakers and discuss the topic in more detail.

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What will you learn?
  • Attributes of IRRBB and characteristic metrics employed
  • In depth look at how NMD modelling behaves with IRRBB
  • Utilisation of different behavioural models for liquidity risk, ALM and FTP
  • Pros and cons of classic and new approaches to NMD modelling
  • Typical challenges associated with behavioural modelling
  • Practical application of behavioural modelling
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Who should attend?

Relevant departments may include but are not limited to:

  • Behavioural modelling
  • Deposit modelling
  • ALM
  • Treasury
  • IRRBB
  • Risk management
  • Liquidity risk
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Sessions include
  • Introduction to IRRBB and the role of behavioural models
  • Non-maturing deposit (NMD) modelling and liquidity and interest rate risk metrics 
  • Non-maturing Deposit (NMD) modelling – based modelling
  • Non-maturing Deposit (NMD) modelling – advanced modelling
  • Prepayment models 
  • Behavioural models and fund transfer pricing
  • Behavioural models validation and stress testing IRRBB 
  • Application of behavioural modelling