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Interest Rate Risk in the Banking Book

Infoline
Course summary
Length: 1 day
Language: English
Location: London
Provider: Infoline plus
Course type: Executive Education

Course Description

INTEREST RATE RISK IN THE BANKING BOOK (IRRBB) SUMMIT

Responding to the enhanced supervisory focus on how well banks identify, measure, monitor and control interest rate risk.

Including Regulatory updates for Heads of ALM, Treasury, Funding, Liquidity and Balance Sheet Management

WHAT TO EXPECT FROM THE 3RD ANNUAL IRRBB SUMMIT…

Obtain Timely Regulatory Updates on Managing IRRBB

  • Implications of the updated IRRBB guidelines and supervisory expectations
  • Latest information on national and EU responses
  • Evolvement of CRD and CRR
  • Pillar 2 approach and the role of the ICAAP for assessing IRRBB
  • Using the institution’s internal approach to IRRBB - why IRRBB is not suitable for standardisation
  • Outlier banks and the Standard Outlier Test
  • Implications of stress testing exercise and development of interest rate shock scenarios

Unveil the Latest Industry Responses and IRRBB Modelling Approaches

  • Behavioural and modelling assumptions to be considered by banks
  • Segregating genuine IRRBB from CSRBB
  • Internal validation process which banks should apply to their internal measurement systems and models
  • Managing IRRBB calculations without spreading equity
  • Programming ageing ALM software with the new scenarios prescribed by the BCBS
  • Pillar III quantitative disclosure requirements

Roll-up Your Sleeves at the Practical Hands-on Workshop...

  • IRRBB measurement methods (EV, EVE, VaR, and earnings approach)
  • Strengths and weaknesses of the current IRRBB regime
  • Different national approaches
  • Proposals for change including industry reaction
  • The final Standards issued in April 2016
  • New disclosure requirements
  • New standardised methodology
  • Likely impact on banks

Provider: Infoline

Infoline Conferences

Infoline – An Informa Company

Since being founded in 1993, Infoline has been developing conferences, workshops and in-house training for companies on topics related to the European financial services community. Infoline has become a market leader in providing training, events and information about risk management,...


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Infoline


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W1W 7RE London