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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Interest Rate Risk in the Banking Book (IRRBB)

A comprehensive overview of the BCBS IRRBB standards published in April 2016, comparison with EBA standards and a refresher of the mathematical tools required

10-11 Dec 2018
Grand Copthorne Waterfront Hotel, Singapore

Why You Should Attend

Interest Rate Risk in the Banking Book (IRRBB)

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.

This course provides a comprehensive overview of the current regulations in place including BCBS

documents, supervisory statements, and legislative revisions primarily for Europe. These requirements will

be compared with industry practice and also other regulatory initiatives, e.g. FRTB.

Since stress testing has become an important tool for risk management and a key part of the regulatory

framework the course also spends time discussing the application of stress testing techniques. A particular

area of focus will be on approaches to assigning probabilities to stress scenarios in order to deliver a

coherent stress-testing framework.

Participants will engage in Spreadsheet-based exercises and also role-playing exercises where time

constraints and class sizes permit.Role-playing exercises will be used to practice engagement with a

regulator, defending assumptions and responding to likely regulatory challenge.

The course has three main objectives:

• To provide a comprehensive overview of the new standards presented in BCBS papers, look at

the implementation in Europe, particularly in connection with CRD, CRR and EBA guidelines

and technical standards.

• Refresh and develop quantitative techniques:

– Cash flow discounting, zero curve construction, yield curve models

– Computation of risk metrics, particularly: EVE, NII, LCR and NSFR.

– A look at some modelling techniques: stochastic simulation, pricing options, modelling behavioural

options, non performing loans, basis risk, credit spreads, capital and liquidity buffer calibration, stress


– Conditional probability theory in relation to stress scenarios

• Review and discuss risk management techniques covering, for example, topics such as:hedging, funds

transfer pricing, FRTB and interactions between the banking book and the trading book.

Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spread

sheet examples will be provided with all data and formulae that 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 a role-playing session will be used to give participants experience of a meeting with

regulators to review their submissions.

Key Topics

  • To provide a comprehensive overview of the new standards presented in BCBS papers, look at
  • Refresh and develop quantitative techniques
  • Review and discuss risk management techniques covering, for example, topics such as:hedging, funds

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    Event Contact

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

    Jude William

    Suite A-20-1, Level 20, Hampshire Place Office
    157 Hampshire, 1 Jalan Mayang Sari

    +603 – 2603 2584
    Email: judew@marcusevanskl.com