Behavioural modelling: NMDs and IRRBB
View AgendaKey reasons to attend
- Explore simple and advanced approaches to non-maturity deposit (NMD) modelling
- Learn how to model the probability of loan prepayments
- Practice the theory each day with Excel spreadsheet exercises
Customised solutions
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About the course
As financial markets become more complex and regulations more stringent, accurately predicting customer behaviour becomes increasingly vital. This course explores various behavioural modelling techniques used in treasury management, including prepayment modelling and NMD modelling.
Participants will examine the crucial role behavioural models play in managing IRRBB, optimising funding strategies and avoiding liquidity shortfalls. The training also addresses key considerations and challenges in behavioural modelling, as well as providing an understanding of model validation and stress-testing.
Attendees will leave the course with the practical skills to apply these models in their organisation and make more informed decisions that mitigate risks and enhance profitability.
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Pricing options*:
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Learning objectives
- Understand the role of behavioural models in funds transfer pricing (FTP)
- Develop validation techniques for behavioural models
- Explore behavioural assumptions in managing interest rate risk in the banking book (IRRBB)
- Apply behavioural modelling to assess liquidity and interest rate risks
- Use behavioural models in stress-testing scenarios
- Discuss how to build an internal funding framework
Who should attend
Relevant departments may include but are not limited to:
- Behavioural modelling
- Deposit modelling
- ALM
- Treasury
- IRRBB
- Risk management
- Liquidity risk
- Finance and strategy planning
- Product development
Agenda
February 11–13, 2025
Live online. Time zone: Emea
Sessions:
- The role of behavioural models in ALM and IRRBB
- NMD modelling: simple approaches
- Application of simple NMD modelling
- NMD modelling: advanced approaches
- Prepayment modelling: simple approach
- Application of simple prepayment models
- Validation, backtesting and stress-testing
- Behavioural models and FTP
- Application of behavioural models and FTP
April 1–3, 2025
Live online. Time zones: Emea/Americas
Sessions:
- The role of behavioural models in ALM and IRRBB
- NMD modelling: simple approaches
- Application of simple NMD modelling
- NMD modelling: advanced approaches
- Prepayment modelling: simple approach
- Application of simple prepayment models
- Validation, backtesting and stress-testing
- Behavioural models and FTP
- Application of behavioural models and FTP
Tutor:
- Matteo Formenti, Asset-liability management expert, Mediobanca
Tutors
Matteo Formenti Risk Learning Faculty
Asset-liability management expert
Mediobanca
Dr Formenti was previously Head of the Fund Transfer Pricing team atUniCredit. He used to be a banking book trader for IRR management, and an expert of behavioural models used in ALM in Group Finance. He has also five years of experience modelling market (VaR, SVaR), counterparty credit risk (back-testing, stress testing and general Wrong Way Risk), liquidity risk (ALM behavioural models) and credit VaR (structural Merton model for ICAAP).
He is currently an external professor of asset management (Master and PhD) at Liuc University, Castellanza and of market risk at MPI (Politecnico, Milano). He has previous teaching experience at HEC, Paris and Tor Vergata, Rome. He is a frequent speaker for Risk Learning on the topic of behavioural modelling.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- A Guide to Behavioural Modelling
- Risk modellers navigate fearful new world of depositor behaviour
- Bank runs prompt rethink of IRRBB deposit models
- Estimating maturity profiles of non-maturing deposits
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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