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Seminar for Staff Members of the Central Bank of the Russian Federation

Moscow, February 16, 2017 — Business Systems Consult. Consultants of BSC participated as lecturers in the training course "Monetary Policy of the Russian Central Bank: Its Regional Aspects and Analysis" for CBR staff organised by Banking Institute of National Research University "Higher School of Economics". During this seminar we discussed interest curve system in the banks and the transformation from risk-free interest rates to the rates of banking products. In particular, we covered the following subjects:

  • + interest rate expectetions embedded in interest rate curves (VasičekCox-Ingersoll-RossHull-White mod​els, their foundations and implications for pricing in banks);
  • + interest curve interpolation and extrapolation (Nelson-Siegel model and its modifications, bootstrapping methodology, parametric and non-parametric approaches);
  • + Russian corporate and retail deposit market: volumes in different terms, segmentation, pricing factors, implications on the inflation targetting policy and risks of this policy from the point of view of macroprudential stability;
  • + fund transfer pricing in the banks: curve construction, elasticity of deposit portfolio, efficient asset-liability management in the banks;
  • + risk-based and liquidity-based pricing for loan operations.

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Russian Version of this news entry.

 

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Опубликовано 16 Feb 2017 Author Magister ludi

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