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.

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Karen Moss

Director, ALM/BSM senior practitioner

Moody's Analytics

Karen Moss is a Director in Moody’s Analytics. Karen has 15 years of experience in International Banking, with the last 3 years in Asia. She is an expert in liquidity and interest rate risk management. In her last role, she was responsible for managing the balance sheet of Royal Bank of Scotland in Asia Pacific. Prior to this she has worked in various positions in a Treasury capacity in Europe.

Based in Singapore, Karen is responsible for delivering value to our ALM client base, bringing them the latest thought leadership and best practice.

Karen holds a degree in Economics from The University of Birmingham in the UK and the ACTM qualification from the Association of Corporate Treasurers.

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
Karen Moss

Director, ALM/BSM senior practitioner

Moody's Analytics

Karen Moss is a Director in Moody’s Analytics. Karen has 15 years of experience in International Banking, with the last 3 years in Asia. She is an expert in liquidity and interest rate risk management. In her last role, she was responsible for managing the balance sheet of Royal Bank of Scotland in Asia Pacific. Prior to this she has worked in various positions in a Treasury capacity in Europe.

Based in Singapore, Karen is responsible for delivering value to our ALM client base, bringing them the latest thought leadership and best practice.

Karen holds a degree in Economics from The University of Birmingham in the UK and the ACTM qualification from the Association of Corporate Treasurers.

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
Karen Moss

Director, ALM/BSM senior practitioner

Moody's Analytics

Karen Moss is a Director in Moody’s Analytics. Karen has 15 years of experience in International Banking, with the last 3 years in Asia. She is an expert in liquidity and interest rate risk management. In her last role, she was responsible for managing the balance sheet of Royal Bank of Scotland in Asia Pacific. Prior to this she has worked in various positions in a Treasury capacity in Europe.

Based in Singapore, Karen is responsible for delivering value to our ALM client base, bringing them the latest thought leadership and best practice.

Karen holds a degree in Economics from The University of Birmingham in the UK and the ACTM qualification from the Association of Corporate Treasurers.

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
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.

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
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.

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
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.

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
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.

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
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.

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Practical Application

15:30 - 17:00

Karen Moss

Director, ALM/BSM senior practitioner

Moody's Analytics

Karen Moss is a Director in Moody’s Analytics. Karen has 15 years of experience in International Banking, with the last 3 years in Asia. She is an expert in liquidity and interest rate risk management. In her last role, she was responsible for managing the balance sheet of Royal Bank of Scotland in Asia Pacific. Prior to this she has worked in various positions in a Treasury capacity in Europe.

Based in Singapore, Karen is responsible for delivering value to our ALM client base, bringing them the latest thought leadership and best practice.

Karen holds a degree in Economics from The University of Birmingham in the UK and the ACTM qualification from the Association of Corporate Treasurers.

17:0017:00

End of course

17:00 - 17:01