Interest Rate Risk in the Banking Book

Amsterdam Institute of Finance

How long?

  • 1 day
  • online

What are the topics?

Amsterdam Institute of Finance

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Who should attend

The workshop is aimed at experienced or middle-ranking Treasury, Risk, Finance and Business Line practitioners, and covers the complete spectrum of IRRBB from regulatory compliance, measurement, and behavioural modelling to stress testing and hedging. Delegates take part in interactive Group Exercises that aim to demonstrate the IRRBB framework in a practical, observable context. Concepts are illustrated with real-world case studies of IRRBB requirements implementation at commercial banks.

The program is relevant for Senior Management in Treasury, Heads of ALM/ Money Markets, professionals in Risk Management, Liquidity Management, Risk Modelling, Asset-Liability Management, Market Risk, Treasury Risk, Liquidity Risk, Balance Sheet Risk, Stress Testing, Capital Management, and Regulatory Reporting.

About the course

Regulatory compliance implementation and best-practice principles (1-day virtual live-and-interactive workshop)

Compliance with the Basel Committee’s standards on interest rate risk in the banking book (BCBS 368) and EBA Final Report (July 2018) on Interest Rate Risk in the Banking Book (IRRBB) presents significant challenges to all banks with respect to measurement, calculation, reporting and hedging of interest rate risk, as well as potential implications for Pillar 2a capital requirement, and this whole area is the subject of current focus from the regulatory authorities. Banks need to ensure they are able to address all the requirements of the regulators whilst ensuring regulatory capital optimisation.

This one-day workshop provides comprehensive coverage of business best-practice approach to IRRBB regulatory compliance implementation, to ensure optimum compliance with Basel III and EBA standards. It explains the process and implementation of an efficient IRRBB measurement, reporting and hedging framework in clear and practical terms, to enable delegates to acquire an understanding of best-practice IRRBB principles, and how they can be integrated into their bank’s ALM policies.

A well-designed IRRBB framework enables a bank to pursue its strategic objectives, conversely a poorly implemented IRRBB framework can lead to long-term damage to a bank’s balance sheet structure and risk management position, not to mention material additional Pillar 2a capital add-on.

The workshop provides delegates with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. Key topic areas including approaches to measurement and reporting, the Basel prescribed stress tests and disclosure requirements are covered in practical detail.

How you will benefit

  • Understand the value and importance of an effective IRRBB mechanism
  • Be able to ensure best-practice measurement, reporting and hedging for your bank’s IRRBB process framework
  • Understand the use, calculation and application of the two reporting measures (NII and EVE), and how to apply the prescribed regulatory stress tests
  • Implement a best-practice IRRBB regime in your bank
  • Operate your bank’s IRRBB process efficiently and effectively

Experts

Moorad Choudhry

Professor Moorad Choudhry is the former Chief Executive Officer of Habib Bank AG Zurich in London, and Honorary Professor at University of Kent Business School. Previously Moorad was Head of Treasury at RBS Corporate Banking, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial...

Interest Rate Risk in the Banking Book at Amsterdam Institute of Finance

From  895 EUR$1,091

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