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Interest Rate Risk in the Banking Book (IRRBB) MasterClass - US edition

13-16 May, 2024

A comprehensive overview of the BCBS framework on IRRBB and implementation

Interest Rate Risk in the Banking Book (IRRBB) MasterClass - US edition

This course provides a comprehensive overview of the BCBS framework and looks at implementation approaches primarily in the US but also in other jurisdictions.
 

13-16 May, 2024, Virtual

Starting time – EDT 08:00 a.m. | UTC 12:00 p.m. | CET 14:00 p.m.

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Finance Online Masterclass

Overview

 

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 the US but also other jurisdictions. Discussion will be encouraged between participants on how IRRBB is implemented in their banks and the 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.

#masterclass     #glceurope      #financetraining      #globalleadingconferences      #banking     #irrbb     #interestraterisk     #bankingbook

 
Trainer
Gary Dunn
Gary Dunn
Gary Dunn started out life as a statistician at the Bank of England in 1977 and after 16-years there ended up as a senior manager within the UK foreign currency reserve management team 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 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 imgRECOMMENDATION

Who should attend?


Analysts, Vice Presidents, Directors, Senior Managers in:

• Treasury Functions
• Capital Management
• Regulatory Compliance
• Governance
• Audit
• Risk Analytics
• Market Risk Management

Testimonial

Our success stories

"High attention to detail in course content and very well delivered"

Simon Halsey
Product Development Manager
Essentra Packaging
United Kingdom

Our success stories

"Very good training led by two knowledgeable and open experts. Excellent insight given on many complex topics. Interactive and highly useful"

Aurelie Vivicorsi
USP PD Team Manager
Celonic AG
Switzerland

Our success stories

"Great course, impressed with the knowledge of the trainers and ability to answer wide variety of questions!"

Emilia Szwej
Manager, Senior Investigator
MT Sword Laboratories (BMS)
Germany

About GLC

Global Leadership Conferences began as an ambitious dream by three founders ten years ago. Today it’s an international series of interactive events, exploring the hottest topics in critical fields. Each year, thousands of professionals join us to challenge the status quo and learn innovative ways to create new solutions in Finance, Pharmaceutical, HR, Health & Safety, and Energy.

know more >

12+

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399

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Speakers

21,521

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Testimonial

Our success stories

"High attention to detail in course content and very well delivered"

Simon Halsey
Product Development Manager
Essentra Packaging
United Kingdom

Our success stories

"Very good training led by two knowledgeable and open experts. Excellent insight given on many complex topics. Interactive and highly useful"

Aurelie Vivicorsi
USP PD Team Manager
Celonic AG
Switzerland

Our success stories

"Great course, impressed with the knowledge of the trainers and ability to answer wide variety of questions!"

Emilia Szwej
Manager, Senior Investigator
MT Sword Laboratories (BMS)
Germany