Assets and liabilities with embedded prepayment/extension options can be subject to behavioural risk. This is due to the unpredictable exercise strategy followed by the option holder not acting purely on the strength of financial convenience. We introduce a more precise definition of behavioural risk and develop an alternative way to calibrate a behavioural risk premium. In addition, we propose a general framework to model behavioural risk by taking advantage of a full parallel with credit risk modelling. As a result, we derive a formula for the pricing of contracts with embedded options by introducing the concept of behavioural risk adjustment (bVA). The valuation of a basket of mortgages is discussed in more details, as an example.