Agenda

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

Course Agenda

08:3009:00

Registration & Refreshments

08:30 - 09:00

09:0010:30

Interest rate risk regulatory environment & IRRBB governance

09:00 - 10:30

  • 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
Konstantina Drakouli

Head of fixed income, market risk

Jefferies – London

Konstantina Drakouli has worked for risk management for most of her 20-yr career, in both London and New York. With an Economics Bachelor degree (M.I.T.), she is also a teaching associate at Warwick Business School and King's Business School.

10:3010:45

Break

10:30 - 10:45

10:4512:00

IRRBB: setting up limits and managing the balance sheet accordingly

10:45 - 12:00

  • 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
Gursah Pektas

Senior manager, ALM and treasury risk management

Prometeia

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Challenges for the IRRBB framework

13:00 - 14:30

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

14:3015:00

Break

10:30 - 10:45

15:0016:30

Behavioural modelling and dynamic assumptions

15:00 - 16:30

  • 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

16:3000:00

End of Day 1

16:30 - 23:59

08:3009:00

Refreshments

08:30 - 09:00

09:0010:30

NMD replicating portfolio calibration & floor in savings

09:00 - 10:30

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

10:3010:45

Break

10:30 - 10:45

10:4512:00

Various model complexities and hedging strategies

10:45 - 12:00

  • 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

 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Automation, AI and cognitive analytics, and risk management

13:00 - 14:30

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

14:3015:00

Break

10:30 - 10:45

15:0016:30

Libor transition and IRRBB

15:00 - 16:30

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

16:3000:00

End of Course

16:30 - 23:59