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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.
At the end of this session delegates should be able to:
Workshop agenda:
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).
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