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.
Who teaches this
Practitioners, not presenters.
Led by practitioners who hold, or have held, the seats this programme prepares you for: group treasurers and heads of asset–liability management, chief risk officers, heads of credit and capital management, and former central-bank supervisors who examined the very frameworks they now teach. Between cohorts the same people advise banks on those frameworks, so what you learn is what is being defended in front of boards and regulators today.
What the bench brings
- ALCO practice and treasury policy
- Funds transfer pricing design and restructuring
- IRRBB measurement: EVE and NII sensitivity
- Liquidity risk: LCR, NSFR and contingency funding
- Behavioural modelling of deposits and mortgages
- Balance-sheet forecasting for executive committees
Where they have practised
Current and former practitioners — people who hold the seat today alongside those who have held it.
Sectors: Banking & financial services · Professional services · Central banking & supervision · Insurance
Regions: Africa · the Middle East · Europe · Asia · the Americas
How they teach
- Live case studies from real institutions
- Modelling labs and balance-sheet simulations
- Regulator-style challenge sessions
- Group problem-solving on realistic institutional cases
- Knowledge checks and a personal action plan
Cohorts are kept small so every exercise is worked on the participants’ own situations — in person or live virtual.
The faculty profile for your cohort is sent with the full agenda and the next dates when you enquire.Request brochure →
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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.
Open the dossier →
The Capability Arc™
Fix it · Advisory
Interest-Rate Risk in the Banking Book
Measurement, limits and hedging the board can defend.
Automate it · Smart IT
BIZENIUS Accord
The licensed platform — 20+ engines, Basel I to 3.1, on your own servers.
Learning is one point on the Capability Arc. Many institutions pair this programme with the advisory engagement — and automate what the framework demands.
Teams from these institutions train with BIZENIUS
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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.