Free Download PDF A Guide to Behavioural Modelling

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Contents
About the Editors
About the Authors
Introduction
PART I: INTRODUCTION TO IRRBB
1 Insights on Banks’ Recourse to Behavioural Models from a Focused
IRRBB Stress Test
Federico Pierobon
European Central Bank
2 Implementing Regulatory Guidance on IRRBB Behavioural Models:
Challenges and Opportunities
Enrique Benito
Deloitte
3 The Stakeholders of Interest Rate Risk Behavioural Models
Roberto Virreira
State Street
4 Governance of Behavioural Models
Daniel Almehed
BearingPoint
5 The Nature of IRRBB and Typical Metrics Employed
Jacek Rzeźnik
mBank
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