Deposit Modelling Amsterdam

Hear from senior practitioners and learn best practice approaches for deposit modelling through various treasury functions including FTP, IRR & liquidity.


Deposit Modelling, NMD’s & the Treasury

20-21 February 2019, Amsterdam

Course AgendaPricing & Registration

Our Deposit Modelling training is coming to Amsterdam for the first time in February. Providing delegates with key insights into deposit modelling, this course will consider modelling options for treasury functions such as FTP, IRR & liquidity.

Day one of the course will comprise of sessions taking an in-depth look at the regulatory overview of deposit modelling and the key data requirements for capturing deposit rates. The day will continue with a session on FTP and a look at varying approaches to deposit modelling.

Day two will continue with a focus on interest rate risk modelling, applications of stress testing and modelling liquidity risk. The course will conclude with a session on how to model NMD’s with stochastic interest rates.

Who Should Attend?

Relevant departments may include but are not limited to:

  • Deposit modelling
  • Asset & liability management
  • Treasury risk
  • Balance sheet management
  • Interest rate risk
  • Funds transfer pricing
  • Risk modelling
  • Risk management
What Will You Learn?
  • The role of the deposit model and evolution of regulatory guidance throughout the EU, UK & US
  • Approaches to data requirements under various regulations including IFRS 7 & BCBS 239
  • Best practice approaches to modelling non-maturity deposits
  • Ways FTP affects deposit models and modelling for NMD balance sheets
  • How to model for interest rate risk and liquidity risk
  • Stress testing frameworks and approaches to stress testing NMD’s

Bert-Jan Nauta

Cluster Lead Interest Rate and Liquidity Risk Modelling


Bert-Jan Nauta works as cluster lead of interest rate risk and liquidity risk modelling at ABN AMRO. In this and former positions at a.o. the Dutch Central Bank and RBS he has worked on a variety of models, such as derivative pricing models, liquidity risk models, and economic capital models. His research focuses on including liquidity risk in derivative pricing models and the connection to funds transfer pricing and FVA. 

Alper Demir

Head of Treasury

Garanti Bank N.V

Alper Demir is the Director of Asset and Liability Management at Garantibank International NV. Prior to moving to The Netherlands, he worked as Treasurer of Garantibank Moscow and senior ALM dealer at Garantibank Turkey. He holds an MSc in Finance and Economics from LSE and he covers liquidity, interest rate and structural exchange rate risks in his current role.

Vera Eonomou

Liquidity Risk Manager

Raiffeisen Bank International AG

Vera has been working at Raiffeisen Bank for 8 years and is responsible for liquidity risk position management. She is involved in methodological development of Group-wide risk models of expected cash flows realization and future behavior of customer loans, deposits, and off-balance sheet products.

Leonard Hugenholtz

Financial Risk Manager

Brand New Day

Leonard Hugenholtz has done all types of risk management over the past decade. His mission is to combine regulatory requirements, internal policy, theory, and best practices and  help banks act on their risks. He is currently the Financial Risk Manager for Dutch start-up bank Brand New Day

Tom Dewyspelaere

Head of Integrated Risk Modelling


Dieter Van Welden

Quantitative Analyst Integrated Risk Modelling


Stratos Nikolakakis

Head of Risk Methodology in Model Validation


Stratos is the head of Risk Methodology in Model Validation (RMV) at Rabobank. Under his responsibility is a wide range of model validations related to XVAs, Market Risk and Counterparty Risk for the Trading book, Interest and Liquidity risk for the Banking Book, Operational Risk and pillar II models including Stress Testing. In his former positions in ABN AMRO, Stratos has worked for several years on modelling a variety of Market Risk and ALM risk related models.

20 February 2019
2019-02-20 09:00:00 +0000

DoubleTree By Hilton Amsterdam Centraal Station

Oosterdoksstraat 4, Amsterdam, 1011 DK, Netherlands

Venue information