Interest Rate Risk in the Banking Book


Dates:
October 18 - 19, 2018
Price:
EUR 1,400
Location:
Prague, NH Hotel Prague
Language:
English
Lecturer:
Gary Dunn

A comprehensive overview of the BCBS IRRBB standards, comparison with EBA standards and a refresher of the mathematical tools required


The course has three main objectives:

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 what-if 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.

Who should attend?

Participants are encouraged to bring their own notebook to maximize the interaction, practical examples and benefit from this workshop.


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