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Behavioural Modelling and Analytics for the Banking Book

Apply advanced analytics to model factors that drive behaviour and impact liquidity, funding and pricing of banking book products

13-15 November 2019
London Marriott Hotel Canary Wharf, United Kingdom

Conference Workshop

Analyse advanced quant techniques for behavioural modelling: How do you find patterns on data?


Why You Should Attend

Behavioural Modelling and Analytics for the Banking Book

 

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

  • Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.






    Practical Insights From

    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

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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Nayia Veloudi


    PO Box 24797
    CY-1304 Nicosia
    Cyprus

    Telephone:
    +35722849327
    Fax: +357 22 849 394
    Email: nayiav@marcusevanscy.com