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Agenda
Agenda
Course Agenda
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Live virtual course | Below agenda timing is in BST.
Respective time in HKT:
Start: 8.30am BST | 3.30pm HKT
Break: 9.30am BST | 4.30pm HKT
End: 10.45am BST | 5.45pm HKT
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08:30 – 09:30
Defining interest rate risk and IRRBB governance
09:00 - 10:30
- Interest rate risk regulatory environment
- Risk metrics for IRRBB under Basel IV (EV, EVE and VaR)
- Worldwide impact of the new PRA Pillar 2 regulations
- What is the Pillar 3 disclosure?
- Overview of governance frameworks
- Evaluating and constructing your IRRBB
09:30 – 09:45
Break
08:30 - 09:00
09:45 – 10:45
Establishing limits and managing the balance sheet in IRRBB
10:45 - 12:00
- Aims for IRRBB management and its philosophies
- Setting up an IRR strategy
- Impact on FTP and P&L
- Concrete examples for limit systems
- How are course participants calibrated?
- Dynamic balance sheet challenges
08:30 – 09:30
IRRBB and interest rate modelling
13:00 - 14:30
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Stochastic models
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Calculus and random variables
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One-factor vs. multi-factor short rate models
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Evaluating the uncertainties using stochastic models
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Multi-curve dynamic models
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Full-term structure
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Zero and forward rates
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Expectation’s hypothesis
09:30 – 09:45
Break
08:30 - 09:00
09:45 – 10:45
Behavioural modelling and dynamic assumptions
09:00 - 10:30
- Objectives and assumptions of behavioural models
- Regulatory considerations and compliance
- Management of 1st LOD and 2nd LOD
- Coping with historic simulations and forward-looking models
08:30 – 09:30
The impact of AI on interest rate risk
14:45 - 16:15
- Machine learning methods in banking and risk management
- Complexity in IRRBB models
- Models for Curve analysis and scenario generation
- From PCA to neural nets
- Scenario generation
- Generative models
- Modeling and Predictions in IRRBB
- Interpretability and robustness
- Implementation challenges
09:30 – 09:45
Break
08:30 - 09:00
09:45 – 10:45
Hedging strategies and various model complexities
13:00 - 14:30
- Practical approaches to hedging
- Simplistic robust models vs. adaptable complex models
- Hedging and steering the balance sheet
- Hedging open behaviourally (embedded option) modelled risks
- Structural hedging of non-maturity deposits
- What is mortgage pipeline hedging?
08:30 – 09:30
Managing deposit beta
10:45 - 12:00
- Demand deposits and money markets
- Explaining net interest income (NII) and net interest margin (NIM)
- What is the liquidity component?
- How to achieve a balance between earnings and value
09:30 – 09:45
Break
08:30 - 09:00
09:45 – 10:45
Managing deposit beta
14:45 - 16:15
- Effect of sharp increase in rates and its implications
- Impact of low rates and negative rates and the economic relevance of CSRBB
- How to approach and look at the changes
- Geopolitics impact on rates
- Covid-19 pandemic and the surge in retail deposit
- Crisis in Ukraine
- Inflation