Agenda

Agenda

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Dr. Matteo Formenti

Operational ALM - Behavioural Models

UniCredit

Market, Operational & Pillar II Risk Validation
UniCredit

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.

Behavioural Modelling: NMDs and IRRBB | 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 behavioral models
  • Behavioural assumptions in the management of IRRBB
  • Statistical analysis of historical data
  • Bias in behavioural models – examples

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Liquidity And Interest Rate Risk Metrics

11:00 - 12:30

  • Regulatory guidance and behavioural models
  • Nature of IRRBB and typical metrics employed
  • Regulatory guidance on IRRBB and Behavioural Models

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Non Maturing Deposit (NMD) Modelling – Introduction

13:30 - 15:00

  • Overview of the literature on non-maturing deposits
  • Importance of NMD modelling for mitigating IRR
  • A framework for developing non-maturity deposit behavioural models
  • The validation of behavioural models: testing and back-testing non-maturity deposit modelling

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Non Maturing Deposit (NMD) modelling – Based Modelling

15:30 - 17:00

  • 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

17:0017:00

End of Day 1

17:00 - 17:01

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

NMD Modelling

09:00 - 10:30

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

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Prepayment Models

11:00 - 12:30

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

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

Behavioural Models Validation and Stress Testing for IRRBB

13:30 - 15:00

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

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Practical Application

15:30 - 17:00

17:0017:00

End of course

17:00 - 17:01