Agenda

agenda

Behavioural Modelling agenda

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Introduction to IRRBB and the role of behavioural models

09:00 - 10:30

  • 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

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Non-maturing deposit (NMD) modelling and liquidity and interest rate risk metrics

10:45 - 12:00

  • 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 modeling 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

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Non-maturing deposit (NMD) modelling – based modelling

13:00 - 14:30

  • 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
  • The replicating portfolio as a measure of expected profitability
Vanessa Pagliaccia

ALM Projects & Fund Transfer Price Strategy

UniCredit

Vanessa Pagliaccia, MsC in  Mathematical Finance at University of Perugia, is an expert in ALM with 7 years of experiences worked as FTP analyst and as developer of behavioral models for the measurement of IRR and for the strategic management of the balance sheet.

Currently she is working for UniCredit Group in Group Finance Department, and she is charge of Operational ALM and FTP.

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Non-maturing deposit (NMD) modelling – advanced modelling

14:45 - 16:15

  • A macro-economic integrated approach for modelling non-maturity deposit
  • A financial wealth allocation approach
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.

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

Prepayment models

09:00 - 10:30

  • The prepayment modelling: non-parametric and parametric approach
  • The implication for liquidity, interest rate risk management and FTP
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.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Behavioural models and fund transfer pricing

10:45 - 12:00

  • 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.

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Behavioural models validation and stress testing IRRBB

13:00 - 14:30

  • Insight on banks’ recourse behavioural models from a focused IRRBB stress test
  • Regulatory overview
  • The validation of behavioural models
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.

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Application of behavioural modelling

14:45 - 16:15

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.