Advanced Behavioural Modelling: NMDs and IRRBB Masterclass
Behavioural modelling for non-maturity deposits and IRRBB — build, validate and back-test the assumptions that decide your NII, duration of equity and gap risk.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
The most consequential numbers in an IRRBB framework are assumptions: how non-maturity deposits behave when rates move, when borrowers prepay, and how those behaviours shift in an inflationary environment. Get them wrong and NII forecasts, duration of equity and gap reports are fiction. This masterclass takes behavioural modelling seriously — building NMD models for ALM and funds transfer pricing, analysing prepayment options, and applying models across diverse interest-rate environments. It covers risk-free rates and yield curves, transferring interest-rate and liquidity risk from business units to a central mismatch centre, and the validation and back-testing that keep critical deposit assumptions honest. The cohort works through stress-testing applications and the alignment of strategic balance-sheet management with the risk function.
What you will do
Who attends
- Heads of ALM, treasury and balance-sheet management
- Risk, ICAAP and ILAAP teams
- ALCO members and corporate treasurers
- Finance, accounting and financial control professionals
- Bank supervisors and deposit-modelling specialists
Programme agenda
Built for the decisions no textbook prepares you for
I.Deposit behaviour and NMD modelling
- Non-maturity deposit characteristics and modelling approaches
- Deposit behaviour in an inflationary environment
- Behavioural assumptions and where they break
II.IRRBB measurement
- NII, duration of equity and the gap report
- Risk-free rates and yield curves
- Prepayment options and their IRRBB impact
III.Transfer and steering
- Behavioural models in funds transfer pricing
- Transferring IRR and liquidity risk to a central mismatch centre
- The ALCO challenge: strategy and risk in one frame
IV.Validation and stress testing
- Behavioural models in stress-testing scenarios
- Back-testing and monitoring of deposit assumptions
- Behavioural model validation
Frequently asked
What will I be able to model after this course?
You build behavioural models for non-maturity deposits that hold up in ALM, funds transfer pricing and IRRBB measurement alike, and analyse prepayment optionality across rising, falling and inflationary rate environments. The programme also covers risk-free rates and yield curves, and the transfer of interest-rate and liquidity risk from business units to a central mismatch centre.
How does the masterclass treat model validation?
Validation and back-testing run through the programme. Participants learn to back-test and monitor the critical deposit assumptions behind NII forecasts, duration of equity and gap reports, and to validate behavioural models before supervisors ask. The models are then deployed in stress-testing scenarios, keeping strategic balance-sheet decisions aligned with the risk function.
Who should attend, and in which languages is it delivered?
The masterclass suits heads of ALM, treasury and balance-sheet management, risk, ICAAP and ILAAP teams, ALCO members, bank supervisors and deposit-modelling specialists. BIZENIUS delivers it in English and French, with an in-house edition tailored to your institution; dates follow a rolling calendar and are confirmed on request, and fees are quoted on enquiry.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
From the Mandate Record
Mandate № 01 · Africa
The training programme that became national regulation
What the team mastered, the regulator wrote into the rulebook.
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The Capability Arc™
Fix it · Advisory
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The licensed platform — 17 engines, Basel I to 3.1, on-premise.
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.