Course Agenda

Agenda

Day 1

09:00

Registration and refreshments

09:30

IRRBB: Typical Metrics Employed

  • Definition of interest rate risk and its various forms
  • Overview of regulatory landscape
  • Simple gap, value and income metrics
  • Use of derivatives to hedge and manage IRRBB
  • IRRBB link to capital

11:00

Morning break

11:30

Value and Income Metrics Compared

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

13:00

Lunch

14:00

Hedging Strategies  

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

15:30

Afternoon break

16:00

IRR Challenges

  • 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

17:30

End of day one

Day 2

09:00

Refreshments

09:30

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: Robert Paolino, Former CRO and Head of Risk for two of the largest Global Banks operating in Canada

11:00

Morning break

11:30

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

13:00

Lunch

14:00

Stress Testing

  • Selection process of shock and stress scenarios
  • Reverse stress tests
  • Addressing key challenges of running stress testing exercises
  • Scenario approach
  • Regulatory deadlines and imperatives

15:30

Afternoon break

16:00

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

17:30

End of course