Bottova 2A, Bratislava 811 09, Slovakia
IRRBB - Interest rate risk in the banking book
The implementation of the latest regulation on interest rate risk in the banking book – the IRRBB – has become a challenge for many banks. Compliance with the IRRBB requires a consistent measurement of interest rate risk and its subtypes (interest rate risk, yield curve risk, basis risk, optionality, and credit spread risk).
| Length: | 1 day |
|---|---|
| Difficulty: | Advanced |
| Price: | 490EUR + VAT, or 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%)!