Behavioural Modelling and Analytics for the Banking Book 2019 | Marcus Evans | 13 November 2019 | TBA, London, UK

With increasingly dynamic banking book products along with other micro and macroeconomic factors driving behaviour, banks must develop behavioural models through advanced analytics in order to have the edge.

This conference will look at how banks can apply advanced analytics to model factors that drive behaviour and impact liquidity, funding and pricing of banking book products. Attend this event in order to better understand the factors that drive behaviour for banking book products and how these factors can be modelled. The meeting will delve into advanced quant techniques such as machine learning and the most efficient ways to back test your behavioural models. It will also examine IRRBB alongside liquidity and funding decisions for the banking book, as well as offer insights into how behavioural models inform FTP decisions.

Key Topics:
• Understand the main drivers for behaviour by finding patterns in data on banking book products
• Calibrate models with factors that drive behaviour of prepayments and mortgages using backtesting
• Examine IRRBB alongside liquidity and funding decisions for dynamic banking book products
• Hear how behavioural models inform FTP decisions and whether embedded optionality should be priced

2019 Speakers

Philippe Mangold
Head of Treasury and Liquidity Risk Management IWM division, Credit Suisse

Raquel Bujalance
Head of ALM Models, Market Risk, Santander

Matteo Formenti
Head of FTP, Unicredit

Andreas Blöchlinger
Head of Risk Asset Management, Zürcher Kantonalbank

Patrick Coleman
Head of Treasury and ALM Market Risk, Bank of Ireland

Federica Bersani
Head of Group Liquidity, IRRBB and ALM, Mediobanca

Federico Pierobon
Principal Expert, European Central Bank

Kamil Pliszka
Bundesbank Principal, Directorate General Banking and Financial Supervision, Deutsche Bundesbank