A Guide to Behavioural Modelling for ALM

Matteo Formenti; Umberto Crespi

ISBN 10: 1782724044 / ISBN 13: 9781782724049

Published by Risk books, 2019

Very Good condition. Shows only minor signs of wear, and very minimal markings inside (if any). 2.51. Seller Inventory # 353-1782724044-vrg

Synopsis:

Client behaviour deeply impacts a bank's liquidity, funding, interest-rate position and, consequently, the management of its asset/liability mismatch and related profitability. Therefore it is imperative that risk managers and modellers alike understand how to model client behaviour according to the needs of their business. It is the aim of this book to improve that understanding and highlight modelling techniques from the simple through to the complex, offering a broad suite of tools to improve the management of an institution's balance sheet.

Since the 2008 global financial crisis, there has been increasing interest from external stakeholders (regulators, shareholders, institutional investors) in understanding how client behaviour impacts banks profitability, as well as how banks manage their liquidity, funding and interest rate risk.

Matteo Formenti and Umberto Crespi of UniCredit Group have gathered together chapter authors from across the globe who are all experts in their field. This book will aim to explain in a simple and effective way how it is possible to model client behaviour for the proper management of an institution's balance sheet, and to expand the readers knowledge of the drivers behind behavioural models.

The book is divided into five parts: >> Part I: An Introduction to IRRBB >> Part II: NMD Behavioural Models >> Part III: Prepayment Behavioural Models >> Part IV: Behavioural Models for Non-performing Exposure and Non-committed Lines >> Part V: Accounting and Hedging

and is required reading for model developers, risk managers, model validators and the regulators whose job it is to understand how institutions approached the regulatory requests.

A Guide to Behavioural Modelling proves that modelling client's behaviour involves several stakeholders, and can improve the awareness of business decisions in different areas - liquidity, funding, interest rate, internal transfer systems- but that there is no one-size-fits-all modelling solution. Rather, different approaches, from the simple to the most-advanced, are equally appropriate depending on the needs of the institution.

About the Author:

Matteo Formenti works at UniCredit Group, where he was initially in the group s internal validation team on the internal models for pillar I and pillar II of the Basel Accords, with a focus on the validation of behavioural models for ALM purposes (interest rate and liquidity risk). Group Finance Department with a specific focus on ALM topics such as the development of behavioral models across the Central Eastern Europe and banking book interest rate strategy. Matteo currently manages the team in charge of executing and setting the fund transfer pricing within the Group. He is visiting professor of market risk at MIP (Milan Politecnique) and full professor of asset management at LIUC (University of Castellanza), and holds an MSc in economics and a PhD in finance with a theoretical and empirical thesis on asset pricing theory.

Umberto Crespi has over 20 years of experience in the banking sector. He started his career in 1999 on the financial engineering desk of Fineco Bank SpA, and after eight years became the Head of Treasury & ALM. In 2007, Umberto moved to the Group Finance Department of UniCredit Group to cover different activities, and in 2010 was appointed Head of the Model and Interest Rate Strategy team within Group ALM & Financial Planning, with responsibility for behavioural models and banking book interest rate risk strategy. Currently, he is the Head of the Operational ALM team within Group Finance Department. Umberto is a member of the European Banking Federation ALM IRRBB Working Group and the ASSIOM FOREX ALM Commission. He has a degree in monetary and financial economics from the Bocconi University in Milan.

Bibliographic Details

Title: A Guide to Behavioural Modelling for ALM
Publisher: Risk books
Publication Date: 2019
Binding: Soft cover
Condition: Very Good