Interest Rate Risk in the Banking Book
This training course is designed to improve efficiency of minimising risk on IRRBB and ensure organisations will be compliant with the standards.
The Basel Committee issued revised standards for interest rate risk in the banking book in April 2016 and in 2018 they will expect organisations to be compliant. This training course is designed to improve efficiency of minimising risk on IRRBB and ensure organisations will be compliant with the standards.
The first day will look at the complexity of IRRBB, opening with a presentation on the nature of IRRBB and the typical metrics employed, followed by a comparison of the value and metrics employed. Day one will also look at the problem areas surrounding IRRBB and closing with a presentation on the regulatory requirements currently and potential future requirements.
The second day will cover topics including, modelling and relevance of commitments for IRRBB, challenges of backtesting and changes in banking strategies.
By the end of the two days delegates will have new or improved knowledge of:
- Capital requirements faced in the Banking Book as well as future implications and proposed timelines
- Strengths and weaknesses of the different Metrics that can be used when calculating and mitigating risk
- How Canadian Banks will be effected in the future
- The pillar 2 regime and what it means currently and in the future
- New strategies to attract new segments
- Examine whether model risk is getting too large
Who Should Attend?
This course is primarily aimed at those working with the BCBS in the financial industry that are affected by Basel III and interest rate risk in the banking book however Risk welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:
- Chief Risk Officer
- Head of Interest Rate Risk
- Interest Rate Risk Manager
- Asset-Liability Management
- Market Risk Analyst/ Manager
- Treasury Risk Analyst/Manger
- Liquidity Risk
- Non-Traded Risk
- Balance Sheet Risk
- Stress Testing
- Understanding the regulatory requirements
- The different challenges of using the Value and Income Approaches
- Examining and comparing the different metrics employed
- Discussing the current and potential future regulatory requirements
- Understanding of modelling and relevance of commitments
- Challenges of backtesting and validation of models