Interest Rate Risk in the Banking Book (IRRBB) MasterClass
Become aware of the revised standards
Gain theoretical and practical understanding of IRRBB methodology
Links between IRRBB and other regulatory initiatives
Learn links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management
Risk transfer, fund transfer pricing
Understand risk transfer, fund transfer pricing
Regulatory challenge on proposed model
Gain experience of facing regulatory challenge on proposed model
Hear the Supervisory and Bank scenarios
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 2004 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to reflect changes in market and supervisory practices.
The course has three main objectives: • To provide a comprehensive overview of the new standards presented in BCBS paper D368 and compare them with existing requirements set out in 2004 and requirements set out by the EBA. • Provide a refresher course to participants in the necessary mathematics required to construct zero curves, obtain discount factors and compute EVE and NII. This will involve numerical examples and case studies including constructing a regulatory report based on the standardised framework proposed in D368. A role-playing exercise will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge. • Look at the interaction of banking book interest rate risk with other areas of regulation, for examplecovering topics such as risk transfer, fund transfer pricing, liquidity risk capture in FRTB and interac- tions between the banking book and the trading book.
Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spread sheet examples will be provided with all data and formulae that will allow all participants to engage in ‘whatif’ scenarios to gain a feel for how different assumptions can affect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to prepare a report based on their own assumptions and a role-playing session will be used to give participants experience of a meeting with regulators to review their submissions.
08:30 Registration and Welcome Coffee
08:50 Opening Remarks & Introduction from the Trainer
10:30 Tea, Coffee, Networking
10:50 Refresher 1
11:50 Draft Revised CRD and CRR
13:00 Luncheon & Networking
14:00 BCBS D368
15:10 Tea, Coffee, Networking
15:30 Refresher 2
16:30 BCBS D368 – The standardised Framework
17:30 Q&A and Feedback
18:00 End of DAY1
08:30 Tea, Coffee & Networking
08:50 Recap from DAY1
09:00 Calculation of the standardised EVE risk measure and NII
10:30 Tea, Coffee, Networking
10:50 Managing Interest Rate Risk
12:30 Luncheon & Networking
13:30 Comparison with revised market risk rules for the trading book (FRTB BCBS D352)
15:10 Tea, Coffee, Networking
15:30 Backtesting and model validation
16:00 Stress Testing
16:45 Related Topics
17:30 Workshop summary and Q&A
17:45 End of DAY2
Get insight into a similar past event
Get to know the Expert Trainer
Gary DunnManaging Partner Gary Dunn Consulting Ltd United Kingdom
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 within 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 ventured into the private sector where he spent a further10 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 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 otherspectral 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. Then, 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 analyticsfor the EMEA region.
Now Gary works as a private consultant (Senior Adviser at Avantage Reply) and trainer.
Who should attend?
C-level Executives, Presidents/VPs/EVPs/FVPs/SVPs, Global Heads, Department Heads, Managing Directors, Directors, International/Senior Managers, Managers, Analyst, Officer OF:
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