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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Interest Rate Risk in the Banking Book (IRRBB)

Understanding the fundamentals of IRRBB and how it differs from interest rate risk in the trading book

27-28 Mar 2019
Downtown Conference Center, New York, NY, United States of America

Why You Should Attend

Interest Rate Risk in the Banking Book (IRRBB)

To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set

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 Standards for IRRBB (D368) in April 2016, to reflect changes in market and supervisory practices.  Additionally, in July 2018 the EBA published revised Guidelines for their implementation of the new BCBS standards. 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.

This two day course addresses the issue of IRRBB from first principles. It will show how some level of IRRBB is the inevitable result of normal retail and commercial banking activity and that while “trading book” style measures have some part to play in its management, they do not provide a complete solution.

Participants will be taken through the main sources of IRRBB, the metrics commonly used to measure it, their principal advantages and disadvantages and how hedging instruments can be used to mitigate it.  The course will also cover how, in practice, banks control and measure IRRBB paying particular attention to risk appetite, the limit framework and the vital important of good governance.

The course will conclude with a review of the current regulatory framework for IRRBB and the proposals now on the table to strengthen this.  

As far as is possible, concepts will be explained without reference to mathematical formulae; this reflects the presenter’s firmly held view that IRRBB is ultimately more about judgement than mathematics and, for it to be effectively managed, it must be fully intelligible and transparent to the non-specialist. Participants will be actively encouraged to discuss issues relating to their own banks and local markets.

About your expert trainer:

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.

Pre-course questionnaire:

A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by 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?

From Financial Services Providers, Investment Banks, Brokerage Firms, Energy Companies, Energy Hedge Funds, Consultancies and Solution Providers:

The course will assume little or no prior knowledge of the subject so will be suitable for:

  • new entrants to a Risk or ALM function
  • those who may already specialise in a particular area but seek to understand the wider context in which they operate; and
  • those from other functions such as Finance, Planning, IT, Internal Audit or Regulatory Reporting who seek an overview of the subject

Key Topics

  • Recap the nature and sources of IRRBB
  • Appreciate how banks typically control and manage IRRBB internally
  • Evaluate the pros and cons of “income” versus “value” measures
  • Review what the regulators’ concerns are and why they see a need for change
  • Gain The background necessary to have an informed opinion on the current regulatory proposals and the confidence to engage subsequently in the ongoing debate

  • 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
    • “Very interactive, good discussion in the group, good inspiration to look at IRRBB” SNS Bank N.V
    • “Lots of takeaway, lots of food for present and future thought” BNP Paribas
    • “Paul really knows how to motivate people around the topic of IRRBB, and with his particular challenging approach makes us think differently about the main issues around it” European Central Bank
    • “Very informative and intellectually engaging” Investec
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    Event Contact

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

    Safak Egemen Pippen

    11 Connaught Place
    W2 2ET

    +1 212 953 6870
    Fax: +61 (2)8088 6090
    Email: safake@global-fmi.com