Trainings By Informa Markets in India
Informa


Interest Rate Risk in the Banking Book

IRRBB

17 Nov - 18 Nov 2020   |   Virtual Course


Course Overview

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 regulations are now incorporated into the Basel Consolidated Framework (BCF)

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 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 approaches to assigning probabilities to stress scenarios in order to deliver a coherent stress-testing framework. We will also explore scenario analysis techniques to consider CSRBB – credit spread risk in the banking book.

Participants will engage in Spreadsheet-based exercises and also role-playing exercises (live courses only) 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.

Benefits of Attending


An understanding of the revised standards
Gain theoretical and practical understanding of IRRBB Methodology.
Understand links between IRRBB and other regulatory initiatives such as FRTB and liquidity risk management.
Understand risk transfer and fund transfer pricing
Gain experience of facing regulatory challenge on proposed model.

Who Should Attend?


Analysts, Vice Presidents, Directors, Senior Managers in:

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




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