Behavioural Modelling: NMDs and IRRBB, London

Gain a new or enhanced knowledge of IRRBB, NMD modelling and how to best implement, utilise and manage behavioral models.

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Behavioural Modelling: NMDs and IRRBB

London, 5-6 June 2019

View agenda here  Register here

This training programme will provide delegates with a new or enhanced understanding of behavioural modelling and how best implement these within your organisation and combine with a knowledge and understanding of IRRBB and deposits. Sessions will cover liquidity and interest rate metrics, NMD modelling, prepayment models and stress testing with a focus on regulation, implementation, management and practical application of behavioural models.

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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
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Who Should Attend?

Relevant departments may include but are not limited to:

  • Treasury
  • ALM
  • Modelling
  • Deposit Modelling
  • Funds Transfer Pricing
  • Liquidity
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Sessions Include
  • 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 

Amba Hotel

Strand,
Charing Cross,
London, 
WC2N 5HX

Venue information

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