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Behavioural Modelling: NMDs and IRRBB
Enhance your understanding of the role of behavioural models and their applications in FTP, ALM and liquidity risk. Behavioural Modelling: NMDs and IRRBB June 7–9, 2021 | Live Virtual
Join us for this virtual three-day course focusing on the application, development, and management of behavioural models and IRRBB within the balance sheet.
Led by subject matter expert Dr Matteo Formenti and developed in conjunction with his book ‘A guide to behavioural modelling’, this course will give participants practical insight into the role of behavioural models, frameworks used, and interactions with FTP, ALM, and liquidity risk.
Sessions will build on participants knowledge of behavioural assumptions when managing IRRBB, based and advanced NMD modelling, the application of prepayment models and how to mitigate the challenges which arise.