Bert-Jan Nauta and Dafni Mitkidou


Replicating portfolio construction for interest rate risk measurement in the banking book

The slides shown at the event can be found here.

Replicating portfolios have been widely adopted by insurers as part of their regular modelling and risk measurement. Can banks benefit from the use of the replicating portfolios technique as well? What are the business cases? In this presentation we will explain the motivation for using replicating portfolios to measure option risk in the banking book and the main benefits. Moreover, we will do a deep-dive in the construction of replicating portfolios in the context of Pipeline risk. Through examples we will aim to demonstrate the main challenges and the conceptual choices that can be made.

Bert-Jan has worked since 2021 in the ALM Modelling team of Rabobank. First as a model architect, responsible for the model landscape and quality assurance and recently as the Head of ALM Modelling, Analytics and Innovation. Before joining Rabobank he worked at various institutions on different topics, such as derivative pricing, market risk, economic capital, solvency 2, interest rate risk and liquidity risk.

Dafni Mitkidou joined Rabobank in 2017, shortly after obtaining my Master’s degree in Stochastics and Financial Mathematics at University of Amsterdam. I started my career as Risk Management Young Professional, working across various teams including Market Risk, Operational Risk and Credit Risk. In the past four years I am working as ALM Modeller, focusing on the development of behavioural models and, more recently, on the construction of replicating portfolios.