About the Course:
The revised BCBS standards on Interest Rate Risk in the Banking Book (IRRBB) were published in April 2016, with implementation set for 2018. Over the past couple of years, financial organisations have been focused on implementing these all-encompassing changes to IRRBB management and introducing new measurement, monitoring, control and supervision frameworks to become compliant.
This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. The course will cover a range of key topic areas including approaches to implementing a measurement and reporting solution, addressing key challenges of running stress testing exercises and examine enhanced disclosure requirements. We are delighted to be joined by Federico Pierobon, Principal Expert at the European Central Bank to discuss the 2017 ECB stress testing exercise.
The course will be delivered by a range of industry experts from a variety of top-tier banks and consulting firms, and sessions will be held under Chatham House Rules to promote an open and discussion based learning environment.
By the end of the two days, delegates will have new or improved knowledge of:
- Key IRR challenges including behavioural assumptions, yield curve risk and basic risk
- Approaches to modelling IRRBB
- Current and future IRRBB governance considerations
- Understand the regulatory landscape including lessons from the ECB 2017 stress test
- Using disclosure requirements to enhance current IRRBB practice
- Defining IRRBB risk appetite