Behavioural Modelling: NMDs and IRRBB, London
Gain a new or enhanced knowledge of IRRBB, NMD modelling and how to best implement, utilise and manage behavioral models.
This training programme will provide delegates with a new or enhanced understanding of behavioural modelling and how best implement these within your organisation and combine with a knowledge and understanding of IRRBB and deposits. Sessions will cover liquidity and interest rate metrics, NMD modelling, prepayment models and stress testing with a focus on regulation, implementation, management and practical application of behavioural models.
What Will You Learn?
- A new or enhanced knowledge of IRRBB governance and the role of behavioral models
- Liquidity and interest rate risk metrics for models
- Frameworks for developing non-maturity deposit behavioural models
- Historical vs stochastic approaches for liquidity and IRR management
- Implications of prepayment modelling
- Insights on behavioural models from focussed IRRBB stress testing
Who Should Attend?
Relevant departments may include but are not limited to:
- Deposit Modelling
- Funds Transfer Pricing
- Introduction to IRRBB and the Role of Behavioural Models
- Liquidity And Interest Rate Risk Metrics
- Non Maturing Deposit (NDM) Modelling – Introduction
- NMD Modelling – Based Modelling
- NMD Modelling
- Prepayment Models
- IRRBB Stress Test and Behavioural Models
- Practical application