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Join Priya Balan at the next London Society Meeting and enjoy in-person networking with your fellow quant finance professionals.

Event Abstract:

The Banking Book contains a bank's non-tradable assets and liabilities such as loans and deposits, often to retail or corporate customers, with assets providing a steady income stream and liabilities funding various businesses. Their balances may remain on the balance sheet for a long time, heavily influencing the bank's risk management, capital requirements, and business strategy and hence must be forecast with care. Embedded options in these products makes forecasting challenging as the options may be exercised non-optimally due to the bounded rationality of customer behaviour.

Understanding and modeling these behaviors is crucial for accurate forecasting and involves identifying incentives that influence customers' decisions. This presentation will explore how customer choices affect common Banking Book products and how to integrate these behavioral aspects into predictive models, along with discussing effective model design and applications.

About the Speaker:

Priya is a Director in the Quantitative Analytics group in Barclays where she is head of Balance and Income Projection modelling supporting Treasury and Finance departments. She has 23 years of industry experience in a career spanning quantitative analytics, sell side research and front office software development. Prior to working in Quantitative Analytics, Priya was a strategist in the Research team at Barclays where she worked in different areas including European securitisation research, structured credit strategy and credit macro strategy. Before joining Barclays in 2007 she worked as a software developer at Deutsche Bank supporting the credit derivatives and the rates trading desks. Priya has a Masters degree in Financial Engineering from Birkbeck, University of London.