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Compliance with the Basel Committee's standards on interest-rate risk in the banking book (BCBS 368) and EBA Final Report (July 2018) on Interest Rate Risk in the Banking Book (IRRBB) presents significant challenges to all banks with respect to measurement, calculation, reporting and hedging of interest rate risk, as well as potential implications for Pillar 2a capital requirement, and this whole area is the subject of current focus from the regulatory authorities. Banks need to ensure they can address all the requirements of the regulators whilst ensuring regulatory capital optimisation.
This one-day workshop provides comprehensive coverage of business best practice approach to IRRBB, to ensure optimum compliance with Basel Standards. It explains the process and implementation of an efficient IRRBB measurement, reporting and hedging framework in clear and practical terms, to enable delegates to acquire an understanding of best practice IRRBB principles, and how they can be integrated into ALM policies, thus optimising the bank's risk management framework.
A well-designed IRRBB framework enables a bank to pursue its strategic objectives, conversely a poorly implemented IRRBB framework can lead to long-term damage to a bank's balance sheet structure and risk management position, not to mention material additional Pillar 2a capital add-on.
The workshop provides delegates with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. Key topic areas including approaches to measurement and reporting, stress testing and disclosure requirement are covered in practical detail.
By the end of this workshop you will be able to:
2021 PRUDENTIAL RISK WORKSHOP SERIES
Speak with us about available discounts if booking more than one workshop in the series (5% off if you book two workshops, 10% off if your book three workshops, and if you book four or more we?ll give you one free). Email us at training@ukfinance.org.uk to discuss.
Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Bank. He has over 35 years experience in banking in the C...
Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Bank. He has over 35 years experience in banking in the City of London and was latterly Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He has served as Chair of the ALCO at four different banking institutions, and is author of The Principles of Banking (John Wiley & Sons Ltd 2012, 2023).
The workshop is aimed at experienced or middle-ranking Treasury, Risk, Finance and Business Line practitioners, and covers the complete spectrum of IRRBB from regulatory compliance, measurement, and behavioural modelling to stress testing and hedging. Delegates take part in Group Exercises that aim to demonstrate the IRRBB framework in a practical, observable context.
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