About the Event

About

About the Event

Day one of the course will begin by discussing the context surrounding the existing IRRBB frameworks and comparisons between different jurisdictions. Governance will then be looked at, along with managing assumptions and internal validation. The day continues with a session on setting up limits and hedging and steering the balance sheet. The complexities of various models will also be discussed along with dynamic challenges of the balance sheet.

Day two continues with a session on behavioural modelling, the aims of behavioural models and achieving regulatory compliance before moving on to stress testing and in-depth overviews of how to design and implement different stress testing methodologies under IRBBB frameworks. Business challenges of IRRBB will be followed by a group exercise where participants will discuss how they would go about integrating IRRBB with other existing and new frameworks. The training will end on accounting and reporting, with a focus on the implications of IFRS 9 for IRR.