Deposit Modeling: Applications in Interest Rate Risk, Liquidity Risk and Funds Transfer Pricing 2017 | IncisiveMedia | 2 May 2017 | New York, NY, United States
Venue
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| Event Date | Tue May 2 EDT - Wed May 3 EDT (over 7 years ago) |
| Location | New York, NY, United States |
| Region | Americas |
Details
In this course, we discuss a number of risk and profitability management problems which require explicit assumptions about the behavior 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 recognized; behaviors are either modified or risk and profitability measures are recalibrated.
Speakers
David Green,
Managing Director, The Exequor Group
Mary Chin,
Senior Risk Management Specialist, Federal Reserve Bank of Chicago
Christopher Jones,
Director, Asset Liability Management, Silicon Valley Bank
Sponsors & Partners
No indicated event sponsors in their website.