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Deposit Modeling: Applications in IRR, Liquidity Risk and FTP
May 02, 2017 - 09:00 AM - May 03, 05:00 PM
Link to Website
Downtown Conference Centre
Phone: +44 (0) 207 316 9970
Ticket Price: Standard Pricing: USD 2399 Early Pricing: USD 2199
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.
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