Interest Rate Risk in the Banking Book 
21-22 February, 2018

Day One | 21 February

08.30 Registration & 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 Coffee 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 Hedging Strategies  

Speaker: Colin Lawrence, Managing Principal, Lawrence Associates  

14.30 Afternoon Break


15:00 Regulatory update

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 AMO

 

17.00 End of Day 1

Day Two | 22 February

8.30 Refreshments

9.00 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, 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 Bank

 

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

IRRBB London Event Brochure 2018
Risk Training Q1 2018 Calendar
Request This Training Course In-House
CPD Accredited
Request A Call Back