Recorded Webinar: Bank ALM and NMDs: Hedging Bank NMDs in an Environment of Extreme Low / Negative Interest Rates
Non-maturity deposits (NMDs) are a simple and traditional bank product offered universally, but they create interest rate risks that are relatively complex to measure and manage, particularly in an environment of extreme low / negative rates.
In this webinar BTRM Faculty member Patrick Carey sets out a framework that: – Integrates the Net Interest Income (NII) and Economic Value (EV) view of the interest rate risks arising on NMDs -Allows the effectiveness of standard hedge prescriptions to be assessed. The lecture addresses specifically the challenges of applying conventional ALM hedging techniques in the presence of negative convexity arising from a zero rate floor and the customer option to vary deposit balances.
Presenter: Patrick Carey is a former Head of Group Market Risk for the Bank of Ireland Group (retired 2018), where he was responsible for ensuring that the bank measured, managed and controlled the full range of market risks, IRRBB and other market-related structural risks to which it was exposed. He was a member of Bank of Ireland’s Asset and Liability Committee and the European Banking Federation’s Committee on Interest Rate Risk in the Banking Book (IRRBB). Patrick works as a independent consultant and lecturer, operating as Independent Market Risk Consulting (imr-consult.com).
Patrick Carey has worked at all levels of market risk management from executive-level policy and governance to quantitative modelling and the hands-on management of complex positions. A former Head of Group Market Risk for the Bank of Ireland, he was responsible for ensuring that the bank identified, measured, managed and controlled the full range of market risks – trading, IRRBB and structural – to which it was exposed.
He was a member of Bank of Ireland’s executive Asset and Liability Committee and chair of the Bank’s Market Risk Committee and Structural Risk Committee.
He is a specialist in Interest Rate Risk in the Banking Book (IRRBB). Up to December 2017, he was a member of the European Banking Federation’s Committee on Interest Rate Risk in the Banking Book (IRRBB) and chairperson of the Banking and Payments Federation of Ireland’s working group on IRRBB.