Deposit Modeling: Applications in IRR, Liquidity Risk and FTP course 2017

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.