Agenda

A session by session breakdown of what we will be covering during our two day training course.

2019 Course Agenda

Day 1

Wednesday September 18, 2019

08:30

Registration and refreshments

09:00

Interest rate risk regulatory environment & IRRBB governance

  • Basel standards
  • New EBA guidelines on non-traded market risk
  • Pillar 2 capital methodologies from the PRA
  • Definition of interest rate risk and its various forms
  • IRRBB post implementation date - lessons learned so far
  • Governance frameworks
  • Evaluating and setting up your IRRBB governance
  • Possible implications of Brexit

Speaker: Santo Mukherji, Independent Consultant 

10:30

Morning break

11:00

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

Speaker: Holger Thiele, treasury manager asset liability management, Commerzbank AG

12:30

Lunch

13:30

Challenges for the IRRBB framework

  • Business architecture
  • System architecture and transformation
  • Reconciliation
  • Credit spread risks
  • Data quality and data lineage

Speaker: Daniel Almehed, senior manager, BearingPoint

15:00

Afternoon break

15:30

Behavioural modelling and dynamic assumptions

  • Regulatory considerations
  • Assumptions of behavioural modelling
  • 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 of behavioural models taking into low/negative interest rates
  • Coping with historic simulations and forward looking models

Speaker: Daniel Almehed, senior manager, BearingPoint

17:00

End of Day 1

Day 2

Thursday September 19, 2019

08:30

Refreshments

09:00

NMD replicating portfolio calibration & floor in savings

  • Interaction between client and bank behavior
  • Approaches for construction of the replicating portfolio
  • Low interest rate environment – Japan scenario
  • Incorporating the floor in savings in the NMD model

Speakers: Janneke Meis, Jr Manager, Deloitte Roald Waaijer, Director, Deloitte

10:30

Morning break

11:00

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

12:30

Lunch

13:30

Automation, AI and cognitive analytics and risk management  

  • Improving metrics
  • Big data analytics
  • Nuances in data 
  • Natural language processing
  • Robotic process automation  

Speaker: Hanane Saih, head of market, liquidity and funding risk – NatWest Markets N.V.

15:00

Afternoon break

15:30

LIBOR transition and IRRBB

  • Earnings and capital risks
  • Option risk
    • Fallback option
    • Early redemption option
  • Basis risk

Speaker: Hanane Saih, head of market, liquidity and funding risk – NatWest Markets N.V.

17:00

End of course