Interest Rate Risk Management in Banking Books
Short course
In Frankfurt am Main (Germany) and London
Description
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Type
Short course
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Location
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Duration
2 Days
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Start date
Different dates available
The Basel Committee of Banking Supervision (BCBS) published in April 2016 the final Standards for interest rate risk management in banking books. These standards are part of the Capital Framework´s Pillar 2 (Supervisory Review Process) and lay out the regulatory standards for banks to identify, measure, monitor and control IRRBB. Banks are expected to be fully compliant with these standards by 2018.
In this two-day course, we address the challenges imposed by the new recommendations and examine their impact on internal banking book risk management and reporting procedures.
The programme focuses on the two main classes of risk measure used in IRRBB - economic value of equity and net interest income - linking them to capital management practices and regulatory capital allocation demands (Basel III).
Case studies draw on international best practices in applying risk measures. Particular attention is dedicated to the construction of relevant stress scenarios and the construction of compliant behavioural models under shock and stress regimes.
Facilities
Location
Start date
Start date
Start date
About this course
Understand and apply IRRBB framework in a practical context
Expand on existing understanding of interest rate risk management and ALM best practices
Learn how to apply specific techniques for analyzing and reporting risk in banking books
Gain insights into regulator designed measures of risk
Banking Book Risk Managers
Managers of Banking Investment Books
Corporate Treasurers
Asset Liability Managers and other ALM professionals
Management Accountants
Financial Accountants
Internal Auditors
Central Bank Managers of Investment Books
Typical participants will have been in financial services for over 3 years and possess a working knowledge of risk management. They will also have a thorough understanding of interest rate products such as bonds and swaps, as well as an operational grasp of interest rate options, to the level of detail covered in the 'IRD1' programme.
Participants should also have:
Basic knowledge of algebra, elementary calculus and statistics
A working knowledge of Excel
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Subjects
- Interest Rates
- Risk
- Risk Management
- Interest Rate Risk
- Equity
- Banking
- Rate Risk
- Banking Book
- Liquidity
- Trading Book
- Regulatory Compliance
Teachers and trainers (1)
Andre Horovitz
Teacher
Andre Horovitz is the Founder of Financial Risk Fitness and has over 25 years of experience in the financial services industry. Mr Horovitz started his banking career at Lehman Brothers, where he was responsible for pricing, developing hedging strategies and marketing exotic interest rate derivatives. He subsequently held senior executive positions at Oliver, Wyman & Co., Commerzbank, HVB Group (currently part of Unicredit), Nagler & Company and was Chief Risk Officer at Erste Bank and Credit Suisse. He is a frequent speaker at conferences and a contributor to various industry journals.
Course programme
A quick review of the fundamentals of interest rate risk measurements
- Duration
- Convexity
- DV01, PV01
- The Options Greeks
- Repricing Gaps
- Maturity (Liquidity) Gaps
CSRBB
Case Study: Deriving Economic Value of Equity via multiple means
- Banking books vs Trading books - A business driven segmentation
- Banking books vs Trading books - Regulatory boundaries
- Governance Principles
- Risk appetite identification embedded in IRRBB regulation
- IRRBB standards for risk measures
- Economic Value
- Earnings
- Assessment Horizons
Day Two
Duration of Equity, EVE
Case Study: Changes in EVE under the 6 Scenarios
Case Study: Changes in NII under the 6 Scenarios
- Treatment of Basis Risk within IRRBB
- Example of Negative Basis Investment Portfolio
- Replicating Portfolios
- Stochastic Optimization Models
- Option Adjusted Spread Models
Link to Capital Adequacy (ICAAP)
Impact for External Auditors and Bank Supervisors
Interest Rate Risk Management in Banking Books