Length: |
1 day (15 April 2021 public on-line) |
Difficulty: |
Expert |
Price: |
Individual (In-house) |
Place: |
In-house (On-line / On-site) |

Content
IRR mapping and measurement
- Successful IRR measurement: FTP system and assignment, new benchmarks after cancellation of xIBOR fixings
- IRR mapping principles: standard bank products, non-maturing deposits/assets (NMD/NMA), embedded optionality decomposition (floorlets/caplets) fixed income products (bonds, swaps, …), other derivatives
- Refresher: duration, convexity, zero curve, PV01, scenario analysis, VaR, Expected shortfall – pros and cons
- Understanding the different interest risk components; measuring IRRBB risk sub-types: IR gaps and level risk, yield curve, basis, and optionality, CSRBB
Regulatory requirements and best practices:
- Overview of regulatory requirements for liquidity and interest rate risk management from Basel I to Basle III reforms
- BCBS IRRBB standards and EU revised standards (EBA GL 2018/02)
- Minimum standard for a compliant bank
- Available regulatory metrics: EaR, EV, EVE, VaR
- Effective interest risk management framework and dealing with the regulatory challenges
Balance sheet management and IRR hedging
- Balance sheet management – design and implementation of hedging strategies
- Financial market instruments for hedging of interest risks: swaps, bonds, futures options (Cap, Floor, Swaption)
Target group
- Treasury and financial market experts
- ALM, risk managers and risk controllers
- Financial professionals and experts from related areas (audit, back-office, compliance ....)
Preparation or additional learning (optional)
Bearning E-learning in the form of script and/or texts, questions, multi-level tests, solutions and explanations. Large discounts for workshop participants (30-50%)!
