€1,706.04

Interest Rate Risk in the Banking Book

Event Information

Share this event

Date and Time

Location

Location

NH Hotel

Mozartova 1

Prague

Czechia

View Map

Friends Who Are Going
Event description

Description

A comprehensive overview of the BCBS IRRBB standards, comparison with EBA standards and a refresher of the mathematical tools required

How you will benefit:

  • An understanding of the revised standards
  • Gain theoretical and practical understanding of IRRBB methodology
  • Understand links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management.
  • Understand risk transfer, fund transfer pricing
  • Gain experience of facing regulatory challenge on proposed model

The course has three main objectives:

  • To provide a comprehensive overview of the new standards presented in BCBS paper D368 and compare them with existing requirements set out in 2004 and requirements set out by the EBA.
  • Provide a refresher course to participants in the necessary mathematics required to construct zero curves, obtain discount factors and compute EVE and NII. This will involve numerical examples and case studies including constructing a regulatory report based on the standardised framework proposed in D368. A role-playing exercise will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.
  • Look at the interaction of banking book interest rate risk with other areas of regulation, for example covering topics such as risk transfer, fund transfer pricing, liquidity risk capture in FRTB and interactions between the banking book and the trading book.

Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under Pillar 2 and principles for the management and supervision of interest rate risk were set out in 2004 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to reflect changes in market and supervisory practices.

Share with friends

Date and Time

Location

NH Hotel

Mozartova 1

Prague

Czechia

View Map

Save This Event

Event Saved