Support to the Bank of Slovenia

The Commission supported the Bank of Slovenia in developing two models, one for liquidity and one for interest rate risk management of non-maturing deposits, to assess the bank’s asset liability management. The main goal of the project was to propose a supervisory tool and a challenger model to verify modelling assumptions used by banks. The development of the models included different phases:

• collecting and analysing data;
• developing the model, including the methodological set-up and model calibration;
• validating and recalibrating the final design of the solutions and model documentation;
• implementing the tool, including training and manuals.