Agenda

Agenda

Course Agenda

Day 1

08:30

Registration and refreshments

09:00

IRRBB: Typical Metrics Employed

  • Definition of interest rate risk and its various forms
  • Overview of regulatory landscape
  • IRRBB post implementation date - lessons learned so far
  • Simple gap, value and income metrics
  • Use of derivatives to hedge and manage IRRBB
  • IRRBB link to capital

Speaker: Jacek Rzeznik, Head of Market and Liquidity Risk, mBank S.A

10:30

Morning break

11:00

Value and Income Metrics Compared

  • Distinction between banking and trading books
  • Strenghts and weaknesses of the value approach
  • Strenghts and weaknesses of the income approach
  • EvE vs MvE
  • What 'best practice' looks like

Speaker: Dr Michael Eichhorn, Global Head of Treasury and Liquidity Risk, Credit Suisse

12:30

Lunch

13:30

Validation of Stress Testing Models

  • Most common hedging strategies
  • Accounting treatment of IRR derivatives (deposit, hedging)
  • Changes imposed by IFRS 9

Speaker: Colin Lawerence, Managing Principal, Lawrence Associates

14:30

Afternoon break

15:00

Capital Optimisation

Speaker: Enrique Benito, Banking and Capital Markets Advisory, Deloitte

15:45

IRR Challenges

  • Modelling assumptions
  • This issue of non-dated liabilities and their hedging
  • Pipeline and pre-hedge risk
  • Credit spread risk - Identifying a risk measure that effectively captures CSRBB
  • Assessing different types of risk - Yield curve, basis, residual
  • Non-maturing deposits

Speaker: Tamim Chebti, ALM & Treasury Expert, ABN AMRO

17:00

End of Day 1

Day 2

08:30

Refreshments

09:00

Implementing an IRRBB measurement solution

  • Comparing suitable/different routes for EVE and EAR
  • Evolution of IRRBB systems and processes
  • Assessing the operational impact of IRRBB
  • Internal reporting practices
  • Enhanced disclosure requirements

 

Speaker: Rene Reinbacher, Head of IRRBB Modelling, QA, Barclays 

10:30

Morning break

11:00

Current and future issues in IRRBB governance

  • Evaluating and setting up your IRRBB governance 
  • Governance of changing and operating the IRRBB setup
  • Management of assumptions and internal validation
  • IRRBB risk appetite and capital

Speaker: Daniel Almehed, Business Advisor, BearingPoint  

12:30

Lunch

13:30

Stress Testing

  • Lessons learnt from the 2017 ECB stress test
  • Selection process of shock and stress scenarios
  • Reverse stress tests
  • Addressing key challenges of running stress testing exercises
  • Scenario approach
  • Regulatory deadlines and imperatives

 

Speaker: Federico Pierobon, Principal Expert, European Central Ban

14:30

Afternoon break

15:00

Behavioural modelling and IRR 

  • Behavioural modelling assumptions 
  • Approaches to modelling deposits 
  • Economic metrics 
  • Methods for calculating EvE and NII
  • What does it mean in terms of timeframes 
  • Data requirements and sophistication required 

Speaker: Matteo Formenti, CFO, ALM Behavioural Models for IRRBB, Unicredit

16:30

End of course