Interest Rate Risk in the Banking Book (IRRBB) MasterClass - EU edition
11-14 March, 2024
A comprehensive overview of the BCBS framework on IRRBB and implementation
This course provides a comprehensive overview of the BCBS framework and looks at implementation approaches primarily in Europe but also other jurisdictions.
11-14 March, 2024, Virtual
Time Zone: UTC/GMT+1 /CET
Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under SRP – the supervisory review process. This course provides a comprehensive overview of the BCBS framework and looks at implementation approaches primarily in Europe but also other jurisdictions. Discussion will be encouraged between participants on how IRRBB is implemented in their banks and issues they face. This will be facilitated by team spreadsheet-based exercises and also role-playing exercises where time constraints and class sizes permit. 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. We will also explore scenario analysis techniques to consider CSRBB – credit spread risk in the banking book.
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Gary ventured into the private sector where he spent a further 10 years as a proprietary trader.
Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at 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 which 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 private consultant and trainer.
Who should attend?
Analysts, Vice Presidents, Directors, Senior Managers in:
• Treasury Functions
• Capital Management
• Regulatory Compliance
• Risk Analytics
• Market Risk Management
"High attention to detail in course content and very well delivered"
Product Development Manager
"Very good training led by two knowledgeable and open experts. Excellent insight given on many complex topics. Interactive and highly useful"
USP PD Team Manager
"Great course, impressed with the knowledge of the trainers and ability to answer wide variety of questions!"
Manager, Senior Investigator
MT Sword Laboratories (BMS)
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Years of experience
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