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Model­ling Non-Matur­ing Products

Imple­ment­a­tion of a replic­a­tion model for interest rate risk manage­ment of Non-Matur­ing products (NMPs), includ­ing design and devel­op­ment  of an end-user tool (programmed in R) to support the data analysis, model­ling (with and without consid­er­a­tion of product volumes volat­il­ity) and stress-testing.

Key Deliv­er­ables

  • Model selec­tion

  • R-based NMP tool

  • Model docu­ment­a­tion

  • End user train­ing mater­ial

Roles Covered

  • Tech­nical Busi­ness Analyst

  • Project Manager

4 Stake­hold­ers

  • Risk

  • Treas­ury

Key Bene­fits

Profit and Cost Optim­isa­tion Process
Improvement

2 FTE Team

Senior Consult­ant & Partner

4

Models

Imple­ment­a­tion of four models (volumes threshold defin­i­tion, replic­a­tion with and without volumes volat­il­ity, stress-testing)

Key Activ­it­ies

2023
Project dura­tion: 3 months

Model Selection

Sugges­tion of altern­at­ive models and assist­ance with the selec­tion of a suit­able model based on the client busi­ness context

Business Requirements Documentation

Creat­ing busi­ness require­ments in close cooper­a­tion and coordin­a­tion with Risk and Treas­ury

R-based Tool Implementation

Imple­ment­a­tion of the selec­ted models in R, includ­ing a front (GUI) and back-end (data manage­ment and model­ling

End-user Training

Integ­ra­tion of R code and train­ing for end users of the tool to ensure smooth adop­tion in Busi­ness-as-Usual