Interest Rate Risk in the Banking Book
London, 22-23 February 2017
This is a multi-tutor course format aiming to address the challenges of interest rate risks arising in the banking book and delegates will learn to identify, measure and mitigate different types of risk.
The whole of the first day will look at the intricacy of IRRBB, starting with a presentation updating delegates on the final BCBS paper and what it means. Further sessions will focus on the alternative metrics involved and comparing 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 start with a case study on Interest Rate Risk from a Tier 1 bank, looking at how it is applied in the UK and the effect on its global subsidiaries. Following on, the session presented by Standard Chartered will consider IRRBB governance challenges. The final two sessions will look at how to model IRRBB and investor relations and disclosures.
Roberto Virreira, Manager of IRRBB Policy, Standard Chartered
Thomas Ralph, Head of ALM & Treasury Risk, Metro Bank
Jakob Lund, Manager, Banking Supervision, Prudential Regulation Authority & Co-Chair for the Task Force on Interest Rate Risk in the Banking Book, Bank of England
Matteo Formenti, Market, Operational & Pillar II Risk Validation, UniCredit
Muhammad Fazeel ur Rehman, Senior Vice President, Corporate Treasury Audit, Citi TBC
Daniel Almehed, Business Advisor, Bearing Point
Jerome Guillemot, Former Head of ALM, Societe Generale Newedge
Dr. Roland Lichters, co-founder, Quaternion Risk Management
An insight into the current and proposed regulatory requirements from the final BCBS paper in April and the likely impact they will have
Consideration of some of the problem areas within IRR and the challenges they create such as behavioural and modelling assumptions
Assess the main IRRBB governance considerations and managerial challenges faced
Examine approaches to modelling IRRBB including approaches to modelling deposits and methods for calculating EVE and NII
Discussion of IRRBB from the investors perspective and the disclosure requirements expected to promote transparency
@RiskNetNewsTweets by @RiskNetNews
- Update from the BCBS's Task Force for Interest Rates
- Nature of IRRBB and typical metrics employed
- Value and Income Metrics Compared
- IRR Challenges
- Interest Rate Risk in Practice: Case Study
- Current and future topics in IRRBB Governance
- Modelling Interest Rate Risk
- Investor Relations and disclosuresWho Should Attend?
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 first-hand. The course will help nurture understanding, implementation and management of sound IRRBB policies. However, Risk welcomes any individual with an interest in the course material.
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