Interest rate risk modelling and IRRBB
View AgendaKey reasons to attend
- Learn about dynamic balance sheet challenges
- Understand the goals for interest rate risk in the banking book (IRRBB) management
- Identify relevant hedging strategies for mitigating risks
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About the course
This learning event will explore diverse approaches to interest rate and behavioural modelling. Participants will gain insights into the appropriate implementation of IRRBB frameworks by learning about managing the balance sheet and strategies.
Key sessions will explore the goals for IRRBB management where participants will learn how to optimise the balance sheet, how to approach and consider impacts of high rates to inflation. Participants will enhance their knowledge on interest rate risk by evaluating diverse aspects and complexities of IRRBB modelling.
Participants will have the opportunity to connect with diverse tutors, as well as their peers through active learning and Q&A sessions.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
- 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber* (use code SUB30)
- Season tickets: save over $1,000 per person by booking 10 or more tickets (available on selection of courses)
*The 30% subscriber reward discount is applicable only to current Risk.net subscribers. If this criteria is not met, we reserve the right to cancel the booking and issue an invoice for the correct rate. Discounts cannot be applied to already registered participants.
Learning objectives
- Measure IRRBB by implementing diverse models
- Assess IRRBB by understanding the governance frameworks
- Understand the interest rate risk regulatory environment and IRRBB governance
- Investigate the impact and challenges of rate changes
- Develop insight into model complexities and hedging strategies
- Implement the impact of AI on interest rate risk
Who should attend
Relevant departments may include but are not limited to:
- Liquidity risk management
- Risk management
- Stress-testing
- Asset-liability management
- Treasury
- Funds transfer pricing
- Balance sheet management
- Compliance
- Interest rate modelling
- Governance
Agenda
July 8–10, 2024
Live online. Timezones: Emea/Apac
Sessions:
- Interest rate risk measurement
- Funds transfer pricing (FTP) and strategic role in ALM analyses
- Credit spread risk in the banking book (CSRBB)
- Non-maturity deposits (NMDs) models for IRRBB
- Early termination, pipeline risk and equity models for IRRBB
- Business case
- Climate-related financial risks
- Integrated balance sheet management framework
- Overview of ALM future landscape
Tutors:
- Giovanni Campo, Head of asset-liability management and liquidity risk competence line international markets, Prometeia
Tutors
Giovanni Campo Risk Learning Faculty
Head of asset-liability management and liquidity risk competence line international markets
Prometeia
Giovanni is associate partner and head of asset liability management (ALM) and liquidity risk competence line for international markets at Prometeia.
Subject matter expert in balance sheet management and treasury risks, he has developed a deep experience in interest rate risk of the banking book and credit spread risk of the banking book, behavioural models, fund transfer pricing and hedge accounting.
Currently leading commercial initiatives and delivery projects of ALM and balance sheet risks solutions of the International Risk Practice.
Recent assignments include major banking groups in Germany, Luxembourg, Austria, Greece, Cyprus, Romania, Moldova and Turkey.
Accreditation
This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- New trends in interest rate and liquidity risk management
- Pimco adds $103bn in fresh receive-fix interest rate swaps
- US banks ditch IR futures as appetite for swaps booms
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.