Interest Rate Risk Management Strategies and IRRBB Amsterdam
This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk.
This training course will have sessions from industry experts covering topics important post IRRBB implementation. These will include; the current regulatory environment, model complexities and hedging strategies within interest rate risk management, IRRBB governance, AI and automation, accounting treatment and reporting with other regulation and behavioural modelling.
This course is CPD Accredited and delegates will earn 12 points if in attendance for both days of the course.
Who Should Attend
This course is primarily aimed at those working with the interest rate risk in the banking book regulation however Risk Training welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:
- Risk Modelling
- Asset-Liability Management
- Market Risk
- Treasury Risk
- Liquidity Risk
- Balance Sheet Risk
- Stress Testing
- Credit Risk
- Capital Management
- Regulatory Reporting
By the end of the two days, delegates will have new or improved knowledge of:
- How libor transition will effect IRRBB
- Understand different hedging strategies and other model complexities
- How to integrate IRRBB with other frameworks
- How to effectively use automation, AI and data for risk management
- What the current IRRBB business challenges are
- Understand how to manage the balance sheet successfully
- Regulatory considerations of behavioural modelling
Treasury ALM Senior
Holger Thiele is specialist for balance sheet and interest rate risk management in the asset liability management function of Commerzbank’s Group Treasury. Funds transfer pricing (for interest rate risks)
and behavioural modelling as well as hedge accounting are his focus areas. He studied economics at Frankfurt School of Finance. After working in the risk control and management functions of Dresdner Bank he spent the following four years in the structured finance/securitization unit of Dresdner Kleinwort Wasserstein. Since 2009 he works at Commerzbank‘s treasury function acting as a link between the different business areas with a special focus on IRRBB.
Senior Business Advisor
Daniel Almehed is a Senior Business Advisor at BearingPoint and an senior expert in the risk management consultancy team within their Banking and Capital Markets practice. Daniel have a specific focus on Banking Book risk controlling and management, covering IRRBB & liquidity risk. His projects covers governance aspects (e.g. 3 lines of defence concept), development of methodology and ALM & Risk software implementation.
Daniel is an banking book risk expert with more than 10 years’ experience in a variety of different roles in consultancy projects for international acting banking groups
Risk Director IRRBB
Head Interest Rate Risk Steering & Strategy
Frank Mulder MSE, aerospace engineer by training, has been active in interest rate derivatives for over a decade. In 2016 he was appointed as Head Interest Rate Risk Steering & Strategy in Rabobank's treasury department. Before assuming this role he has been Senior Portfolio Manager for the investment books and a Senior Trader Interest Rate Derivatives. Next to his day-to-day activities for the bank, Frank is a board member of Rabobank’s pension fund, a guest lecturer on derivatives and actively involved in the fintech sector in the Netherlands.
Head of Market, Liquidity and Funding Risk
NatWest Markets N.V.