Interest Rate Risk in the Banking Book
A comprehensive overview of the basics of IRRBB management, the BCBS IRRBB standards published in April 2016, comparison with EBA standards and a refresher of the mathematical tools required.
12-13 Apr 2018
London, United Kingdom
- Why You Should Attend
Interest Rate Risk in the Banking Book
How will you benefit?
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 2014 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to reflect changes in market and supervisory practices. As a result, IRRBB has risen up most banks’ agendas and an understanding of its nature is now vital not just for risk specialists but for all senior staff involved in the wider management of their banks’ balance sheets.
The course has four main objectives:
· To provide an introduction to what IRRBB is, how it needs to be managed differently from interest rate risk in the trading book and how, typically it is managed internally.
· 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, FRTB and interactions between the banking book and the trading book.
Day 1 will provide a general overview of IRRBB and the regulatory requirements from a non-mathematical perspective with particular focus on the behavioural and other judgmental factors that need, in a banking book, to be considered.
Day 2 will offer a menu of more specialised topics from which participants can choose. These topics will tend to be quantitative in nature but those with less quantitative backgrounds should not be discouraged. Spreadsheet examples will be provided with all data and formulae. The role-playing exercise will allow all participants to engage in ‘what-if’ scenarios to gain a feel for how different assumptions can affect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to prepare a report based on their own assumptions and this will be used to give participants experience of a meeting with regulators to review their submissions.
About your expert trainers:
Paul Newson has worked in banking for over 30 years in a career that has spanned Finance, IT and Risk Management. Most recently he was Head of Non-Traded Market Risk Oversight at Lloyds Banking Group. From 1999 to 2005 he led the Traded Risk team at the UK Financial Services Authority, and, prior to that, was Head of Trading Risk Systems for NatWest Markets. Paul, upon graduating from Oxford University, initially trained as a teacher. During his subsequent banking career, he has always maintained a keen interest in delivering training. He lectured for five years at the City of London Polytechnic preparing students for the UK Chartered Institute of Bankers’ module in accountancy, has delivered many internal courses and, currently, presents the interest rate risk in the banking book course for the UK Asset and Liability Managers Association. Firmly believing that, in risk management, there is no such thing as a “stupid” question, Paul’s preferred style is to encourage the active participation of students and thus leading them to draw their own conclusions based on shared experience and open questioning.
Gary Dunnstarted out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fixed income portfolio managers and the FX desks. Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models includingVaRand IRC). Whilst at FSA Gary attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers onVaR, ES and other spectral risk measures which contributed to a review of the academic literature on market risk measures, the first in a long series of FRTB papers from BCBS and industry. Then, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.
A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will beanalysedby the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.
Who should attend?
Analysts, Vice Presidents, Directors, Senior Managers in:
- Treasury Functions
- Capital Management
- Regulatory Compliance
- Risk Analytics
- Market Risk Management
- 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.
- Voice of Our Customers
- Join the Discussion
- Event Contact
For all enquiries regarding speaking, sponsoring and attending this conference contact:
101 Finsbury Pavement
London EC2A 1RS
Telephone: +44 (0) 20 3002 3400
Fax: +44 (0) 20 3002 3016