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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Live Online Workshop: IRRBB- Measurement and Management Tools

A structured online course delivered live over 4 half-day sessions

6-9 Dec 2020
Online, Singapore

Why You Should Attend

Live Online Workshop: IRRBB- Measurement and Management Tools

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

Given the current travel and in-person meeting constraints associated with the coronavirus, we have adapted our live workshops to an online format so that there is still an opportunity to interact with the workshop leader and your peers. In this 4-part online program (3 hours each session) Douglas Bongartz-Renaud will provide a comprehensive virual online course focusing on measuring and managing interest rate risk banking book (‘IRRBB’) for banks.

The course will be delivered virtually in real-time, utilizing screen share, whiteboard, chat, breakout room and Google doc forms to provide a mix of short lectures and delegate participation events in each of the four sessions. The trainer will provide participants with copies of the presentation materials including PowerPoint slides and Excel spreadsheets used in the course. Delegate participation and dialogue with the trainer and other delegates will be actively encouraged.

Among the topics covered in the course will be the following:

  • Measuring & stress testing IRRBB exposures – re-pricing gaps, basis risk, embedded payments timing optionality & credit spread risk in the banking book (CSRBB)
  • Treatment of contractual, portfolio-based, and behavioral assets and liabilities (such as ‘CASA’) in the IRRBB framework, including coverage of different types of effective behavior modelling approaches
  • Relationships between funds transfer pricing (‘FTP’), transfer pricing and capital management – both Basel Pillar 1 (e.g. the Australian APRA approach) and Pillar 2 (ICAAP approaches)
  • Transition to Basel III global IRRBB Standards (Basel d368 – April 2016) – explained and assessed with use of Basel II & NII and EVE Excel spreadsheet calculations in a demonstration tool provided by the trainer.
  • IRRBB behavourial modelling of NMDs and other uncertain cash flow balance sheet products – demonstration of basic model types using trainer provided spreadsheet examples.

About your expert trainer:

Douglas Bongartz-Renaud– FRM is owner and Director   of Markets & Risk Solutions Pte            Ltd, a banking consulting and training firm based in Singapore. Recent assignments have included Basel lll training for HSBC and other banks and a seven month project for the IFC (World Bank Group) as treasury and risk advisor at a  large Asian bank. In addition he provided ALM design andimplementation assistance at a bank in East Africa      under an IFC sponsored assistance program.

Douglas also provides consulting assistance to an Islamic bank in SE Asia and to a number of banks in Indonesia as a part time SME for KPMG. In addition he has done a number of training and ALM related consulting projects in East Africa (Burundi, Kenya, Tanzania)

Douglas has 35 years of experience in banking in the areas of financial products, risk management, andALM, including 26 years with ABN AMRO where he had a number of senior roles, including heading the global FX & Interest Rate Derivatives and Structured Products businesses, andashead of the Bank’s Treasury, Risk and Advisory

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?

This course is intended to benefit bank ALCO management, ALCO members andriskmanagement & finance department professionals. In particular it will benefit the following job functions:

  • Balance Sheet Management
  • Funds Transfer  Pricing (FTP)
  • Treasury Front Office
  • Asset & Liability Management (ALM)
  • Liquidity Management
  • Market Risk
  • Finance
  • Regulatory Reporting
  • Audit

Key Topics

  • Gain key insights into Credit Spread Risk in the Banking Book (CSRBB)
  • Learn about techniques for measuring and managing IRRBB
  • Fully appreciate the transition to Basel III IRRBB standards
  • Have a demonstration of important model types
  • Receive insights into IRRBB behavioural modelling

  • 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 intellectually engaging” Investec
    • “Very good, lots of content and applicable and interesting real-life stories/examples” Morgan Stanley
    • “The use of online mini-games and simulations was very engaging. I have enjoyed the interaction with the rest of the learners in the sessions” European Central Bank
    • “The course is amazing; it is interactive, it is educational, and I enjoyed it so much!” TD Bank
    • “Clear instructions and passionate delivery. Very open to answering questions and made everyone fell at ease” RBS
    Join the Discussion

    Event Contact

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

    Veronika Sapronova

    101 Finsbury Pavement
    EC2A 1ER

    +44 (0)20 3002 3435
    Fax: +44 (0)20 3002 3016
    Email: veronikasa@marcusevansuk.com