Behavioural Modelling: NMDs and IRRBB
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.
Dr. Matteo Formenti
Operational ALM - Behavioural Models
Market, Operational & Pillar II Risk Validation
A quantitative background in theory of finance, financial products and interest rates models applied in a primary Italian bank's Risk Management Validation unit, in particular for Pillar I (Counterparty Credit Risk, Market Risk), Pillar II (Credit VaR), and ALM Interest rate and Liquidity Risk. Today fully involved in sight asset modeling for liquidity and funding purposes introducing the Montecarlo approach to estimate the future liquidity outflow and estimates of prepayment of floating and fixed mortgages.
External Professor at University of Castellanza of financial markets and asset management and MIP (Milan Politecnique) of market risk.
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
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