Learning outcomes

Training Description

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 example covering 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.

Training Schedule

Day one

  • 08:30 Registration and Welcome Coffee

  • 08:50 Opening Remarks & Introduction from the Trainer

  • 09:00 Introduction

  • 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

Day two

  • 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

Training Program

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Get to know the Expert Trainer

Gary Dunn
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:

  • Banking Book Risk
  • Banking Investment Book
  • Basel
  • Capital Management
  • Change management
  • Governance
  • Interest Rate Risk
  • Internal Audit
  • IRRBB Policy
  • IRRBB Program
  • Liquidity Risk
  • Market Risk Management
  • Model Validation
  • Regulatory change management
  • Regulatory Compliance
  • Risk
  • Risk Analytics
  • Risk management
  • Treasury
  • Treasury risk

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FAQ

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While we are not happy to see you cancel your registration, we understand that “life happens” and other obligations come up. Our refund schedule is as follows:
The client has the right to cancel his/her registration in the event.
There is a 50% liability on all conference registrations once made, whether the booking was made through our website or via e–mail/ telephone/ fax.
If the client cancels with more than 8 weeks’s advance notice, GLC shall be entitled to an amount equivalent to 50% of the conference fee and 16 EUR administration charge. In case the client has already made his/her payment, this will be deducted from the conference fee GLC has already received and the remainder will be refunded. If no conference fee has been received prior to the cancellation request, GLC will issue an invoice for the cancellation fee (the amount equivalent to 50% of the conference fee and 16 EUR administration charge), which the client must pay immediately upon receipt. No refunds are available for cancellations received with 8 week’s (or less) advance notice or in case the client fails to attend the conference. In these cases, the full amount of the conference fee must be paid.
In general no VAT is applied based on the Hungarian VAT law with the exception of individual payment [when you would like to pay from your own budget and not from the company’s budget] and for Hungarian companies where 27% VAT is applicable which is refundable at the end of the company’s fiscal year.
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We provide a conference documentation pack which includes: conference agenda, notes pages and attendee information. Soft copies of some of the presentation are available on USB-flash-drives for each delegate. You may bring your laptop, tablet or other mobile device so you are able to review the presentations while they are being presented. Free Wi-Fi will be provided and outlets will be available for recharging computers, mobile devices and phones. We highly recommend you to bring along your business cards and a desire to learn from some of the industry’s leading experts.
The dress code is business casual. Feel free to leave the suits and ties at home this time. We do suggest you bring a sweater or dress in layers, as the conference room temperature may fluctuate.
Any of our staff members at the event will be delighted to help you. You can contact us for free via WhatsApp or Viber or any time over the phone or via e-mail or post.
  1. Get the timing right.
    Many people are afraid to request for training budget, because they can’t seem to find the “perfect time” to do it. Well, there’s no perfect time to ask for it, but there are definitely some moments that are better than others. For instance, if your boss is about to take a two week vacation, he/she might be in a good mood. If he/she just lost a major account, may not be wise at that juncture.
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    When you ask for budget, you should be prepared with specific details and explanations about what is in it for the company and you’re superior. If you go into a meeting and just say, “I want to get budget for a conference,” it’s likely that your request won’t be taken seriously. If you want to plan ahead, then you should be prepared to explain the following points:
    1. Start by stating your accomplishments
    2. Show that you’re ready for more responsibility and eager to learn
    3. Describe:
    a) How this event will increase your productivity?
    b) How you will need less supervision
    c) How you can bring back the knowledge to the company
    4. Follow up
You might find free to attend events which are usually organized by a solution/service provider within the industry. Unlike at free to attend events, on a paid event you will find more diverse industry knowledge rather than presentations related to services or solutions.
In case you cannot attend for both days, you can always attend for just 1 day of the event. In this case we will send you all presentations of the 2 days. The participation fee is 70% of the original investment. In case you would like to attend the event for just 1 day please contact us on booking[at]glceurope.com
In case you are busy on 1 of the days, you certainly can split the 2 day conference with one of your colleague. All you need to do is send us an e-mail to booking[at]glceurope.com
We understand that not all senior-level professionals might be available on the dates. As the event is an annual event, most of the attendees try to postpone their engagements or send a small group from their teams to benefit from the conference.

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