Behavioural Modelling: NMDs and IRRBB, London
Expand your knowledge of behavioural modelling with an in-depth focus on application, development and management of IRRBB and NMD models.
This course has been developed to provide participants 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.
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
Who should attend?
Relevant departments may include but are not limited to:
- Behavioural modelling
- Deposit modelling
- Risk management
- Liquidity risk
- 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
8 Fenchurch Pl
Engage with industry experts to discuss how a low interest rate environment is affecting approaches to deposit modelling. Delegates will be provided with in depth presentations addressing lack of appropriate data, the results of the EBA stress test and modelling options for NMD’s.
Themes include: IRRBB management; modelling interest rate risk; and setting up limit systems.