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Interest rate risk in the banking book (IRRBB) MasterClass
Training - Banking - Austria
From Mar 15 2018 to Mar 16 2018
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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.

For more information, please visit our website and request the agenda.

15-16 March, 2018 – Vienna, Austria

Sectors: Finance
Topics: Banking Technology


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Event organizer
Event Planner
Country: Hungary

GLC Europe - Global Leading Conferences (GLC) is a market leader in constructing industry focused events where business meets intelligence.

We structure our events by investigating into market challenges and top issues that industries endure to render the most effective learning and networking platforms by creating impactful and pragmatic Business to Business Conferences, Congresses and Training.

We are specialized in major industries such as; Pharmaceutical, Finance, Energy, Oil and Gas and Human Resources. We are devoted to deliver distinctive and comprehensive events and striving to maintain the highest qualities and standards.

Financial Information
Global Leading Conferences Kft.
Panorama Office Building
+36 1 848 05 31 VAT: HU 23157653
IBAN: HU13 1176 3134 2155 9884 0000 0000

Offices: Hungary
Global Leading Conferences Kft.
Panorama Office Building
+36 1 848 05 31

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