Deposit Modelling
New York, 13-14 June 2018

In this course, we discuss a number of risk and profitability management problems which require explicit assumptions about the behaviour of NMDs: Interest Rate Risk, Liquidity Risk and Funds Transfer Pricing (FTP). We propose a modeling framework which includes a well-constructed FTP process for ensuring that that measures of value are consistent with the perceived duration and liquidity value used in IRR and LR management exercises. Integral to this framework is a rigorous governance process which ensures that changes in behavior are quickly recognised; behaviours are either modified or risk and profitability measures are recalibrated.

Who Should Attend:

  • The course is vital for professionals within the financial industry who work on ALM and specifically deposit modeling. The course will help nurture understanding, implementation and management of sound policies, particularly for those who have never been exposed to increased interest rates in the last decade. However, Risk welcomes any individual with an interest in the course material.

Event Highlights:

  • Overview of Balance Sheet Management
  • The Deposit Modeling Problem
  • IRR Management Considerations
  • Liquidity Risk Management Considerations
  • Funds Transfer Pricing (FTP)
  • Budgeting/Forecasting
  • Regulatory Mandates
  • The Deposit Model
  • Governance and Accountability

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Learning Outcomes

By the end of the two days, delegates will:

  • Understand how deposit behaviors impact measures of IRR and LR
  • Appreciate how business strategies can destroy the value of deposits
  • See why measures of value and profitability must be synchronised with measures of risk
  • Learn from a seasoned risk and balance sheet manager who has dealt with deposits for over 20 years


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