TopQuants

Berend Ritzema

Deloitte

Modelling client and bank behaviour under rising interest rates

In this presentation, we shed light on the recent surge in interest rates and resulting challenges for banks in capturing interest rate risk in their banking books. Specifically, we focus on the behavioural modelling assumptions in existing interest rate risk models such as prepayment and non-maturing deposit models. These assumptions need to be challenged and potentially revised in order to properly capture the interest rate risk in the current rate environment.