• Thomas Ribarits, Head of Financial Risk Department, European Investment Bank
  • Frank Mulder, Head Interest Rate Risk Steering & Strategy, Rabobank
  • Roberto Virreira, Risk Director IRRBB, STATE STREET
  • Thomas Steiner, Partner, BearingPoint
  • Pasquale Costa, Bank Sector Analyst, European Banking Authority (EBA)
  • Mike Dunkley, Head of ALM, Leeds Building Society
  • Sophie He, Manager, ALM & Treasury Risk, Prometeia
  • Daniel Almehed, Senior Business Advisor, BearingPoint

Day 1 - Monday 11th March 2019


Registration and refreshments


Behavioural modelling

  • Introductions
  • Regulatory considerations
  • What are the aims of behavioural models?
    • 1st LOD steering/management – strategic business making
    • 2nd LOD risk controlling – risk appetite/limitation/stress testing
    • Regulatory compliance
  • Reliability and limits of behavioural models
  • Integration with stress testing
  • Governance and control of behavioural models

Speaker: Daniel Almehed, Senior Business Advisor, BearingPoint


Morning break


IRRBB: Setting up limits and managing the balance sheet accordingly

  • Goals for IRRBB management and setting up an IRR strategy
  • Management philosophies
  • Concrete examples for limit systems
  • How are course participants limits calibrated?
  • Hedging and steering the balance sheet

Thomas Ribarits, Head of Financial Risk Department, European Investment Bank (EIB)




Stress testing

  • EBA 2018 Stress Testing
    • EBA Guidelines on Stress testing and EBA Guidelines on IRRBB
    • The role of EBA in the EU wide stress testing
    • Main characteristics of EBA stress testing
    • Selection of the scenario
    • IRRBB Methodology
    • Outcomes
    • Lesson Learnt
  • Main differences between EBA stress testing and ECB IRRBB stress testing
  • Integration of the stress test into SREP

Pasquale Costa, Bank Sector Analyst, European Banking Authority


Afternoon break


Various model complexities and hedging strategies

  • Simplistic robust models vs adaptable complex models
  • Dynamic balance sheet challenges
  • Timeframes
  • Hedging open behaviourally (embedded option) modelled risks
  • Do behaviour model results lead directly to hedging activities?
  • Increasingly complex behavioural models effect on hedging
  • Structural hedging of non-maturity deposits

Speaker: Frank Mulder, Head of Interest Rate Risk Steering & Strategy, Rabobank


End of day one

Day 2 - Tuesday 12 March 2019




IRRBB: Governance

  • The cornerstones of IRRBB Governance in modern banking institutions
  • Definition of Risk Appetite Framework and IRRBB mission across the organization
  • ALM and Risk Management framework: the thee lines of defence model in IRRBB context
  • Definition of an IRRBB policy and methodological framework:
  • “Hot topics” in IRRBB analysis in the current market environment:
  • Management of floors and negatives rates in EVE & NII metrics
  • Inclusion of commercial margins in EVE calculation
  • Credit Spread Risk in the Banking Book
  • Systems and data architecture for a proper IRRBB governance

Speaker: Sophie He, Manager, ALM & Treasury Risk, Prometeia


Morning break


Data, systems and technology

  • Vendor vs internal models
  • Enhancing your ability to accurately capture IRR of products
  • Reconciling IRRBB data with the balance sheet
  • Tools used for IRRBB management: measurement: spreadsheet, propriety build, vendor solution, other?
  • Consolidating data from various formats, sources and locations
  • Integration and synergy between systems; use of input data from other areas of risk and planning and control
  • How will digital banking and technologies such as blockchain change the treasury?

Thomas Steiner, Partner, BearingPoint




IRRBB business challenges

  • Optionality treatment: Explicit and implicit options in the balance sheet
  • Credit spread risks – identifying a risk measure that effectively captures CSRBB
  • Front to back alignment from corporate planning to financial modelling and reporting
  • IT implementation: data, costs & pitfalls
  • Dedicated transformation programmes

Speaker: Mike Dunkley, Head of ALM, Leeds Building Society



Afternoon break


Accounting, reporting and interaction with other regulation

Group exercise – How to integrate/co-align IRRBB with other frameworks

  • ECB guide to the internal capital adequacy process
  • Implications of IFRS 9
  • EBA Guidelines on institution’s stress testing
  • Internal reporting practices
  • New expected pillar 3 disclosure requirements
  • Overall effects of BCBS 368 implementation in Europe

Speaker: Roberto Virreira, Risk Director IRRBB, State Street


End of course