Interest Rate Risk in the Banking Book
Toronto, August 30-31

The whole of the first day will look at the intricacy of Interest Rate Risk in the Banking Book (IRRBB), focusing 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 first day will end with a look at the regulatory requirements.

The second day will start with a session on current and future topics within IRRBB Governance followed by a session on developing shock and stress scenarios. After lunch, the final two sessions will be on modelling Interest Rate Risk and deposit modeling.

    Event Highlights:

      Nature of IRRBB and typical metrics employed
      Value and Income Metrics Compared

      Problem Areas

      Regulatory Requirements: Current and Proposed

      Current and future topics in IRRBB Governance

      Developing Shock and Stress Scenarios
      Modelling Interest Rate Risk

      Deposit Modeling

    Learning Outcomes:

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

    An insight into the current and proposed regulatory requirements from the final BCBS paper and the likely impact they will have on capital requirements

    Assess the main IRRBB governance considerations and managerial challenges faced

    Consideration of some of the problem areas within IRR and the challenges they create as well as deposit modeling

    Examine approaches to modelling IRRBB including approaches to modelling deposits and methods for calculating EVE and NII


Confirmed Speakers:

Yujush Saksena, Managing Director, Market Risk Treasury & Co-Head Interest Rate Risk, GE Capital

Paul Newson, former Head of IRRBB oversight, Lloyds Banking Group and previously Manager of the Traded Market Risk team, UK Financial Services Authority

Dr Jesus Bravo, Country Head of Traded Risk, HSBC Canada

Peter Franklin, SVP, Asset & Liability Management Director, SunTrust Bank

Mark Nowakowski, Principal, KPMG LLP

Who Should Attend?

The course is vital for professionals within the financial industry who are affected by the Basel paper. The course will help nurture understanding, implementation and management of sound IRRBB policies. However, Risk Training welcomes any individual with an interest in the course material.

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