Course Agenda

Agenda

Course Agenda

14:0015:00

Regulatory overview, governance and key considerations

14:00 - 15:00

  • Deposit modelling - where are we now and where are we going?
  • Increased focus on model validation
  • Interaction of risk management and cost/benefit allocation
  • Key challenges
    • Influx of deposits due to quantitative easing
    • Excess liquidity due to COVID -19
    • Difficulty predicting customer behaviours

15:0015:15

Break

15:15 - 16:15

15:1516:15

Non-maturing deposits modelling

15:15 - 16:15

  • What characterises a good model?
  • Quantification of data
  • The model risk in your NMD’s and how to capture that
  • Behaviour of NMD’s

14:0015:00

Liquidity risk modelling

14:00 - 15:00

  • Purposes of liquidity modelling
  • Liquidity dynamics
  • The effects of too much liquidity
  • Pricing of liquidity – own funding costs

15:0015:15

Break

15:15 - 16:15

15:1516:15

Negative interest rate environment – interest rate risk modelling

15:15 - 16:15

  • Crossing the 0% rate floor
  • How are institutions dealing with negative rates?
  • Can current modelling systems still be used?
  • Behaviour modelling implications

14:0015:00

Addressing the associated challenges of a recent accumulation of deposits

14:00 - 15:00

  • Liquidity and interest risk
  • How can the maturity of these deposits be estimated?
  • Are current models appropriate for this scenario?
  • Operational balances approach

15:0015:15

Break

15:15 - 16:15

15:1516:15

Electronic bank innovations – the effect on deposit modelling

15:15 - 16:15

  • Developments of online banks
  • Are the current models factoring in these developments?
  • Transferring of deposits
  • Looking forward how will this affect the deposit market?

14:0015:00

Data challenges

14:00 - 15:00

  • Lack of historical data – how to address this
  • Calibration of models when historic data is unfavourable
  • Data management and residency
  • Back testing

15:0015:15

Break

15:15 - 16:15

15:1516:15

The infrastructure and the governance of data-aggregation and risk modelling processes

15:15 - 16:15

  • An idealised data flow in rate risk and liquidity risk reporting
  • Where things can go wrong: challenges to risk reporting quality
  • Infrastructure-related considerations in risk reporting
  • The governance of data-aggregation and modelling processes
Dr. Csaba Burger

ALM Treasury data scientist

BNP Paribas Germany

Dr. Csaba Burger, CFA, is an experienced financial professional with a demonstrated history of modelling the interest rate risk of the banking book (IRRBB), as well as other risk and data science-related topics in the financial services industry. He obtained his Doctor of Philosophy (Ph.D.) from University of Oxford with a focus on occupational pensions. Prior to his PhD, he worked for the Global Banking Profit Pools of McKinsey & Company. After graduation, he was active pursuing various risk and data science-related projects, and re-joined University of Oxford as a Visiting Research Associate for a period of time. Today, he is the ALM Treasury data scientist at BNP Paribas Germany.