On-Demand Webinar

Unlocking Basel IRRBB & Behavioral Modeling for Banks

Interest Rate Risk in the Banking Book (IRRBB) has been a key regulatory focus since Basel’s 2016 update, driving banks to adopt more sophisticated risk management approaches. This webinar will provide a deep dive into Basel IRRBB principles, key calculations, and the evolving role of behavioral modeling in managing interest rate risk.

A critical component of IRRBB is behavioral modeling, which captures customer behavior for Non-Maturity Deposits (NMDs), prepayments, early withdrawals, and commitments. With growing regulatory expectations and technological advancements, traditional methods are evolving, and machine learning is playing a bigger role in risk assessment.

This session discusses practical implementation strategies and how to integrate behavioral models into your IRRBB framework, prepare your data, and move beyond compliance to build an Integrated Balance Sheet Management (IBSM) approach.

Key highlights:

Understand Basel IRRBB: Grasp the core principles and why regulators emphasize IRRBB.
Master IRRBB Calculations: Learn key concepts, from repricing gaps, Net Interest Income to EVE and CSRBB.
Behavioral Modeling Demystified: Understand how behavioral risk models for NMDs, prepayments, and early withdrawals work and how machine learning is shaping the future.
From Compliance to IBSM: Discover practical steps for implementation, ensuring data readiness, integrating behavioral models, and preparing for future regulatory expectations.

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About the experts

Tan Chee Hian

Manager, Business Solutions
Risk, Fraud & Compliance Solutions
SAS

Chee Hian is a Manager in Business Solutions at SAS Institute. He has extensive expertise in financial risk management, IRRBB, and behavioral modeling. With previous roles at Kamakura Corporation and Standard Chartered Bank Singapore, Chee Hian has led implementation projects, provided technical consulting, and supported risk solution development. Chee Hian’s work focuses on refining industry best practices and enhancing regulatory reporting capabilities.

Matt Yu, PhD

Principal Solutions Advisor
Risk, Fraud & Compliance Solutions
SAS

Matt is a veteran risk management professional with deep expertise in ALM, FTP, IRRBB, liquidity risk, and Basel regulations. Prior to SAS, Matt played a key role in credit risk modeling and counterparty risk management at Taipei Fubon Bank and advised banks on Basel II IRB compliance and risk modeling strategies.

Matt has delivered several industry-focused risk management courses at the Taiwan Academy of Banking and Finance, covering topics such as "LIBOR Transition: Alternative Reference Rates and New Interest Rate Conventions," "Practical Insights into IRRBB (Interest Rate Risk in the Banking Book) Implementation," and "Asset and Liability Management in Banks," demonstrating his deep expertise and practical experience in the field of risk management.

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