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Global Financial Markets Intelligence

Global Financial Markets Intelligence

3rd Edition Managing Interest Rate Risk in the Banking Book

Actively manage interest rate risk, improve frameworks and advance behavioural models under the EBA’s final IRRBB guidelines to steer banks into the optimal position

27-29 Jun 2018
Novotel Wien Hauptbahnhof, Vienna, Austria

Conference Workshop

Workshop Title: A deep dive into the exploration of individual behavioural models under the updated IRRBB guidelines
The workshop will first address the FTP model governance in banks, in particular looking at the FTP process, structural hedging needs for BSM and looking at the incorporation of liquidity components in your NMDs pricing.
Workshop Moderator: Arnau Lopez Cabot
Company: Independent Consultant

Why You Should Attend

3rd Edition Managing Interest Rate Risk in the Banking Book

This marcus evans conference will look at how banks can actively manage interest rate risk, improve frameworks, and advance behavioural models under the EBA’s final IRRBB guidelines to become increasingly robust and take a strategic approach to interest rate risk management.

To create more consistency across the board and get banks in a position where they can face challenging situations relating to interest rate risk, the EBA have been developing IRRBB guidelines, where following a consultation period taking place at the moment, the EBA final guidelines will be upon us soon. Banks have already been developing frameworks, working on scenario analysis, improving behavioural models, and with the rule becoming more final they will want to ensure they are responding in the most accurate and efficient way.

Key Topics

  • Unicredit combat operational challenges as a result of the updated IRRBB EBA guidelines
  • mBank explore correct modelling of non-maturing deposits and prepayment deposits for IRRBB
  • Hrvatska Postanska Banka analyse interest rate risk alongside liquidity management from a total bank perspective
  • Raiffeisen assess EVE and NII under IRRBB requirements
  • Rabobank reveal steps to take in order to facilitate the discussion with the board regarding IRRBB sensitivities
  • 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.

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    Event Partners

    Practical Insights From

    Sander Boogmans
    Head of Interest Rate Risk Management

    Mads Gydesen
    Chief Risk Manager
    Danske Bank

    Jacek Rzeźnik
    Head of Market and Liquidity Risk

    Anja Bozak
    Head of Group Market and Liquidity Risk
    Addiko Bank

    Sergey Kharinov
    First Deputy Head of Internal Treasury
    Russian Agricultural Bank

    Frank Mulder
    Head of Interest Rate Risk Management and Strategy

    Alexander Tsorlinis
    Head of Market Risk Management
    Raiffeisen Bank International

    Jeff Simmons
    Managing Director, Head of Enterprise Risk
    The Bank of Tokyo-Mitsubishi UFJ

    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
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    Event Contact

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

    Constandinos Vinall

    marcus evans (Europe) Ltd
    PO Box 24797
    1304 Nicosia, Cyprus

    +357 22849 380
    Fax: +357 22849 394
    Email: constandinosv@marcusevanscy.com