Interest Rate Risk in the Banking Book
London, 12-13 September 2017

The first day will look at the intricacy of IRRBB, the alternative metrics involved, and compare the different approaches one can take. There will also be consideration for the challenges and problem areas within IRRBB and emphasis on what best practice looks like. The second day will include a case study on interest rate risk and sessions on IRRBB governance challenges and modelling IRRBB.

    Course Tutors:

      Wilson Jan Kansil, Senior Expert, ALM Strategy & Planning, ABN AMRO

      Thomas Ralph, Head of Treasury Risk, METRO BANK

      Frank Mulder, Head of Interest Rate Risk Management & Strategy, RABOBANK

      Professor Michael Eichhorn, Managing Director, Global Head of Treasury & Liquidity Risk, CREDIT SUISSE

      Dr Matteo Formenti, CFO - FTP & Behavioral models, UNICREDIT

      Roberto Virreira, Manager of IRRBB Policy, STANDARD CHARTERED

      Dr Colin Lawrence, Senior Financial & Regulatory Risk Advisor, LAWRENCE & ASSOCIATES

    Learning Outcomes:

    By the end of the two days, delegates will have new or improved knowledge of:

    Regulatory requirements from the final BCBS paper and the impact they will have on capital requirements

    Different metrics used and what they offer

    Key IRR challenges including behavioural assumptions, yield curve risk and basis risk

    Approaches to modelling IRRBB

    Current and future IRRBB governance considerations and managerial challenges faced


Course Highlights:

  • Industry experts and experienced practitioners make up a multi-speakers format
  • Learn how to identify, measure and mitigate different types of risk
  • Discussion of the nature of IRRBB and the typical metrics employed 
  • Comparison of value and income metrics 
  • Understand IRR challenges and how they can impact your company 
  • Assess the main IRRBB governance considerations
  • Examine different approaches to modelling IRRBB
  • Case studies exploring implementation

Who Should Attend:

The course is vital for professionals within the financial industry who are affected by the Basel and EBA papers on interest rate risk. The course will help nurture understanding, implementation and management of sound IRRBB policies.

Risk Training Testimonials:

'Very dynamic. Nice to have various different speakers. Very good to have full-time presence from Incisive logistics staff. Speakers were all very technical and worthwhile.' - European Central Bank

'Knowledgeable speakers and thoughtful presentations.' - Accenture

'The speakers were very good and the topic was very interesting to me.' - BBVA

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