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Global Financial Markets Intelligence

Global Financial Markets Intelligence

2nd Edition Managing Interest Rate Risk in the Banking Book

Establish effective governance of the IRRBB in relation to recent regulatory developments.

22-24 Nov 2017
Marriot West India Quay, Canary Wharf, London, United Kingdom

Conference Workshop

Workshop Title: FTP model governance for retail banks
This workshop will take a deep dive into FTP model governance. It will examine how behavioural models allow for better decision making under FTP, how they are advancing under IRRBB and the impact of this on FTP. It will also address accounting for behavioural lives of assets such as mortgages.
Workshop Moderator: Jerome Guillemot, President at Finance and Risk Advisory
Company: Formerly Global Head of ALM at Société Général Newedge

Why You Should Attend

2nd Edition Managing Interest Rate Risk in the Banking Book

This marcus evans event will enable banks to establish an effective IRRBB framework to gain competitive ground. The meeting will explore how banks can steer the balance sheet to defend against interest rate risk sensitivities, advancements to systems and behavioural models under the IRRBB, developments in the IRRBB EBA guidelines and stress testing requirements and the separation between the banking and trading book.

Since the EBA’s updates on the IRRBB, banks have been implementing IRRBB stress tests and updating behavioural models under the new shock scenarios in order to work towards a standardised metric. This standardised measure will reveal a bank’s interest rate risk position, enabling bank-to-bank comparisons indicating, which banks are most prepared for interest rate movements. As banks progress from implementing the IRRBB, the focus now turns to the governing of IRRBB to improve both interest rate risk management and business decision making within the bank.

Key Topics

  • ECB explore practical implementation of IRRBB framework
  • Finnish FSA assess future of interest rate movements and their impact on IRRBB calculation
  • Societe Generale provide solutions to overcome the practical challenges in modelling shock scenarios
  • Nordea calculate adequate capital requirements under IRRBB
  • ING explore the duration of equity on a bank’s balance sheet
  • Previous Attendees Include

    • AFME
    • ABN Amro Bank
    • Banco Espirito Santo
    • Bank of England
    • Bank of Ireland
    • Barclays Bank
    • BNP Paribas
    • Ceska Sporitelina AS
    • Citigroup
    • Commonwealth Bank of Australia
    • Credit Agricole
    • Credit Suisse
    • Credito Trevigiano
    • Danske Bank
    • Deloitte
    • Deutsche Bank
    • DZ Bank
    • Erste Group Bank AG
    • HSBC
    • ING
    • Intesa Sanpaolo
    • ISDA
    • JP Morgan
    • Lloyds Bank Commercial Banking
    • Mizuho International
    • Morgan Stanley
    • Natixis CSP Fournisseurs
    • Nomura International
    • Nordea
    • PWC
    • Santander
    • VTB Capital
    • and many more..

    Why Choose GFMI marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Event Sponsors
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    Event Partners

    Practical Insights From

    Moorad Choudhry
    University of Kent Business School

    Rune Larsen
    Head of IRRBB and Liquidity Analytics

    Marcel Burtscher
    Managing Director, Head of Treasury

    Roberto Fiorina
    Director, Treasury Risk Control

    Mads Gydesen
    Chief Risk Manager
    Danske Bank

    Anja Bozac
    Head of Group Market and Liquidity Risk
    Addiko Bank

    Katie Duggan
    Balance Sheet Risk Manager

    Francesco Giuliani
    Italian Banks Coverage in Fixed Income Products
    Deutsche Bank

    Click Here For Full Agenda

    Voice of Our Customers
    • “Great opportunity to be informed how various banks handle regulatory requirements on IRRBB and better understand various concepts of IRRBB. Excellent opportunity to also speak and network with peers” Group Treasury Asset-Liability Management, Bank of Cyprus
    • “Thanks a lot for organising this event. It was very interesting to share views on IRRBB with other banks,” Market Risk Analyst, Societe de Financement Local
    • “Great place for meeting our peers, exchanging ideas, coming from other banks’ experience and practise,” Head of ALM, mBank
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Yiota Andreou

    marcus evans (Europe) Ltd
    PO Box 24797

    +357 22 849 404
    Fax: +357 22 849 310
    Email: YiotaA@marcusevanscy.com