Interest Rate Risk in the Banking Book

September 26 - 27, 2019
EUR 1,400
Prague, NH Hotel Prague
Gary Dunn

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

Interest Rate Risk in the Banking Book 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.

This course provides a comprehensive overview of the current regulations in place including BCBS documents, supervisory statements, and legislative revisions primarily for Europe. These requirements will be compared with industry practice and also other regulatory initiatives, e.g. FRTB.

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 approaches to assigning probabilities to stress scenarios in order to deliver a coherent stress-testing framework.

Participants will engage in Spreadsheet-based exercises and also role-playing exercises where time constraints and class sizes permit. Role-playing exercises will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.

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.

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

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