Advanced Interest Rate Risk Management London
This two day training course will examine the key elements of interest rate risk and assess IRRBB frameworks and governance for senior practitioners.
Following on from the success of past IRRBB training courses, we are running for the first time Advanced Interest Rate Risk, a course specifically designed for senior practitioners and those working in IRRBB, ALM or the treasury function. Delve into the most relevant and pressing IRRBB challenges including hedging strategies, behavioural modelling and stress testing.
What will you learn?
- Best practice approaches to evaluating and setting IRRBB governance programmes and revising the target operating model
- Examples for limit systems and how to hedge and steer the balance sheet
- Different model types and how to hedge these
- Regulatory considerations for behavioural modelling and strategies for forward looking models
- Considerations for stress testing within the ICAAP and how to design and implement various stress testing methodologies
- Regulatory implications for IRRBB including IFRS 9 and the new expected pillar 3 disclosure requirements
Who should attend?
Relevant departments may include but are not limited to:
- Liquidity Risk
- Market Risk
- Interest Rate Risk
- Asset Liability Management
- Balance Sheet Management
- IRRBB: Regulation and measurement
- IRRBB: Setting up limits and managing the balance sheet accordingly
- Various model complexities and hedging strategies
- Behavioural modelling
- Stress testing
- IRRBB business challenges
- Group exercise – How to integrate/co-align IRRBB with other frameworks
- IRRBB: accounting and reporting