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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Interest Rate Risk in the Banking Book

A two-day intensive workshop featuring practical examples, group exercises and in-depth discussions

4-5 Oct 2020
Hilton Canary Wharf, London, United Kingdom

Why You Should Attend

Interest Rate Risk in the Banking Book

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

Although our online training courses have been very successful, for many people nothing beats having the opportunity to travel to an event to meet the trainer and other attendees in person. They recognize that the networking and informal discussions that take place at face-to-face events cannot be replicated online, therefore as travel and in-person constraints begin to ease, we are excited to be able to bring you Gary Dunn’s highly successful courses in a safe and secure in-person setting.

This course provides a comprehensive overview of the BCBS framework and looks at implementation approaches; primarily in Europe but also other jurisdictions. Discussion between participants on how IRRBB is implemented in their banks will be facilitated by using breakout sessions where attendees will work in teams on a spreadsheet example, followed by a role-playing exercise, We will also explore the impact of other regulations on banking book management, for example FRTB and liquidity risk management.

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 risk aggregation, and we will also explore scenario analysis techniques to consider CSRBB – credit spread risk in the banking book

The course has four main objectives:

· To provide a comprehensive overview of the BCBS framework for IRRBB, and to look at the implementation in Europe, particularly in connection with CRD, CRR and EBA guidelines and technical standards with practical case studies.

· Review and discuss good risk management techniques, for example: hedging, management of yield curve risk, yield curve arbitrage, and good governance standards.

· Consider relevant topics (emphasis depending on audience demand) e.g. funds transfer pricing, risk free interest rate benchmarks (replacements for the IBORs), Liquidity Risk Management, FRTB and interactions between the banking book and the trading book, CSRBB, stress testing.

· Refresh and develop quantitative techniques:

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

o Computation of risk metrics, particularly: EVE, NII.

o A look at some modelling and risk management techniques: stochastic simulation, pricing options, modelling behavioural options, non-performing loans, basis risk, credit spreads, capital and liquidity buffer calibration, stress testing.

o Assigning probabilities to stress scenarios in order to compute an economic capital number

About your expert trainer:

Gary Dunn started 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 in 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 then ventured into the private sector where he spent a further 10 years as a proprietary trader. Following that he joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at the FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also 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 on VaR, ES and other spectral risk measures that 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.

From 2010, 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.

Now Gary works as a consultant and trainer, and as a result of the 2020-1 Coronavirus pandemic he has also successfully transitioned to delivering his courses online, thus ensuring that banking professionals around the world continue to benefit from his insights.

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:

· Commodity Trading/Energy Trading

· Derivatives Trading for Energy and Commodities

· Structuring and Structured Products

· Risk Management, Model Validation and Analytics

· Energy Analysis, Research and Development

· Quantitative Analysis

· Financial Engineering

· Strategists

· Product Control

· Energy and Commodities Portfolio Management

Key Topics

  • A comprehensive understanding of the revised standards
  • A theoretical and practical understanding of IRRBB methodology
  • The links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management
  • Appreciate risk transfer and Funds Transfer Pricing
  • Experience of facing regulatory challenge on a proposed model

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    Voice of Our Customers
    • “Good course with inspirational teacher, open minded approach to discussions and knowledge-sharing. Relevant subject” Danske Bank
    • “Very informative and interesting, the material received was very detailed” APS Bank
    • “Good and learned a lot, the trainer knew a lot about the subject and could answer all questions” Synechron
    • “Interesting and useful, tied everything together, and gave real-life practical examples and insights” First West Credit Union
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    Event Contact

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

    Kamelia Simeonova

    101 Finsbury Pavement, London, EC2A 1RS

    0044 203 002 3172
    Email: kamelias@marcusevansuk.com