- Funding Programme
- Structural Reform Support Programme (SRSP)
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.