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Agenda
Agenda
March 2021 Course Agenda
Agenda timing is in GMT
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Session one - 2pm GMT/ 9am EST
Session two - 3.15pm GMT/ 10.15am EST
End - 4.15pm GMT/ 11.15am EST
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Day One: Monday, March 22, 2021
14:00 – 15:00
IRRBB: regulatory guidance, strategy, and governance
- Basel standards
- Definition of interest rate risk and its various forms
- IRRBB – lessons learned so far
- Governance frameworks
- Evaluating and setting up your IRRBB
Thomas Ribarits joined the European Investment Bank in 2005 within Financial Risk Management, dealing with loan and funds transfer pricing, performance measurement and Asset and Liability Management.
In 2011 Thomas was advising the EFSF (European Financial Stability Facility), predecessor of the ESM, and implemented a pricing model for programme loans to Ireland and Portugal. Thomas then headed the Pricing Unit in the Credit Risk Department of EIB (credit risk pricing, loan loss reserves, watch listing), setting up a new Economic Capital framework. Between 2013 and 2018 he was heading the Financial Engineering and Advisory Services Division in the Treasury Department before he was appointed Director for Financial Risk Management in September 2018. Thomas holds a PhD degree in system theory and time series analysis and has spent 5 years in Academia at University of Technology Vienna and as post-doc at several European universities.
At EIB he has led research co-operations with Universities and he regularly acts as expert speaker at professional risk and finance conferences.
15:00 – 15:15
Break
15:15 – 16:15
IRRBB: setting up limits and managing the balance sheet
- Goals for IRRBB management and setting up an IRR strategy
- Management philosophies
- Concrete examples for limit systems
- How are course participants calibrated?
- Hedging and steering the balance sheet
16:15 – 16:15
End of day one
Day Two: Tuesday, March 23, 2021
14:00 – 15:00
Impact of low rates and negative rate challenges
- How to approach and look at the impact
- Low rate environment challenges
- Pressure on net interest margin
- Impact of negative rates on modelling
Krishna Nijanand is the senior manager, structural interest rate risk in Scotiabank, where he provides independent oversight of risk positions with an appropriate limit, measurement and reporting framework on CAD 1 trillion balance sheet.
Krishna is an experienced treasury and risk management professional with a strong background in asset and liability management (ALM) and in-depth risk measurement and analysis. He is one of the key members to drive implementation of Interest Rate Risk in Banking Book (IRRBB) standard in the bank. His current function includes continuous development and enhancement of structural market risk related metrics, models, policies and governance to keep up with industry best practices and regulatory requirement.
Krishna’s prior role was manager, asset and liability management (ALM) within Group Treasury Balance Sheet Management. He has an MBA from Schulich School of Business, Toronto and he is a CFA charter holder.
15:00 – 15:15
Break
15:15 – 16:15
NMD replicating portfolio calibration and floor in savings
- Interaction between client and bank behaviour
- Approaches for construction of the replicating portfolio
- Incorporating the floor in savings in the NMD model
- Expanding net interest income and the liquidity component
- Aligning advanced models with a business plan
16:15 – 16:15
End of day two
Day Three: Wednesday, March 24, 2021
14:00 – 15:00
Behavioural modelling and dynamic assumptions
- What are the aims of behavioural models?
- Assumptions of behavioural modelling
- Regulatory considerations and compliance
- 1st LOD steering/management – strategic business making
- 2nd LOD risk controlling – risk appetite/limitation/stress testing
- Reliability of behavioural models taking into low/negative interest rates
- Coping with historic simulations and forward looking models
15:00 – 15:15
Break
15:15 – 16:15
Various model complexities and hedging strategies
- Simplistic robust models vs adaptable complex models
- Dynamic balance sheet challenges
- Hedging open behaviourally (embedded option) modelled risks
- Do behaviour model results lead directly to hedging activities
- Complex behavioural model effect on hedging
- Structural hedging of non-maturity deposits
16:15 – 16:15
End of day three
Day Four: Thursday, March 25, 2021
14:00 – 15:00
The impact of AI on interest rate risk
- Improving metrics
- Big data analytics
- Nuances in data
- Natural language processing
- Robotic process automation
- Impact of non-banking competitors on IRRBB deposit stability
15:00 – 15:15
Break
15:15 – 16:15
Handling the Ibor transition and IRRBB
- Earnings and capital risks
- Options risk
- Fallback option
- Early redemption option
- Basis risk
- How to model theoretically
- Essential planning for the transition
16:15 – 16:15