Hear from senior practitioners and learn best practice approaches for deposit modelling through various treasury functions including FTP, IRR & liquidity.
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:
Asset & liability management
Balance sheet management
Interest rate risk
Funds transfer pricing
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