About the course

about the course

About the course

Led by Dr. Matteo Formenti, Head of FTP team at Unicredit S.p.A, this training course will cover the most important aspects of behavioural modelling and how to enhance and manage the role of behavioural models within your organisation.

Day one will begin with an introduction to IRRBB, looking at current and future topics and how to assess the stakeholders for behavioural models. Liquidity and IRR metrics will also be covered along with two practical sessions on NMD modelling and a focus on historical vs stochastic approaches.

Day two will begin with a macro-economic integrated approach for modelling NMD’s before moving on to discuss prepayment models and the implications for liquidity and IRR management. Following this is a session on IRRBB stress testing and how this can effect behavioural models before the event concludes with a practical application session and summary of the learning points of the two days.

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:

  • Treasury
  • ALM
  • Modelling
  • Deposit modelling
  • Funds Transfer Pricing
  • Liquidity risk
  • Behavioural modelling
  • Risk management
Course highlights
  • 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