Agenda

Agenda

Agenda: Interest Rate Risk Management Strategies and IRRBB, online course

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, 16th November, 2020

14:0015:00

IRRBB: regulatory guidance, strategy, and governance

09:00 - 10:30

  • Basel standards and other guidelines
  • Definition of interest rate risk and its various forms: a toy example
  • Setting up your IRRBB strategy
    • First things first: quantifying the IRR appetite
    • Reducing complexity via benchmarking
    • Risk-return considerations
    • Consistency with the corporate planning cycle
  • Governance frameworks
Thomas Ribarits

Head of financial risk department

European Investment Bank

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.

15:0015:15

Break

08:30 - 09:00

15:1516:15

IRRBB: setting up limits and managing the balance sheet

10:45 - 12:00

  • Goals for IRRBB management
  • Management philosophies
  • Concrete examples for limit systems
  • How are limits calibrated?
  • Hedging and steering the balance sheet
Alper Özün

Asset, Liability and Capital Management, EMEA

HSBC

Alper Özün is a banker with international experience in treasury and capital management functions in the banking sector over eighteen years. He currently works for HSBC London as head of treasury operations for the EMEA region. He has a PhD in finance (University of Bradford, School of Management), MSc in information technologies (Istanbul Technical University), MSc in business finance (Brunel University) and BA in international relations (Bosphorus University). He is an associate professor and currently has a visiting academic role at the University of Oxford, Faculty of Law, where he researches on taxation policy and rule of law in the context of constitutional economics.

16:1516:15

End of day one

10:30 - 10:45

Day Two: Tuesday, 17th November, 2020

14:0015:00

Impact of low rates and negative rate challenges

13:00 - 14:30

  • 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

Senior Manager, Structural interest rate risk,

Scotiabank

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.    

15:0015:15

Break

08:30 - 09:00

15:1516:15

NMD replicating portfolio calibration and floor in savings

09:00 - 10:30

  • 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
Ashish Ghangrekar

Director, International treasury

Scotiabank

16:1516:15

End of day two

12:00 - 13:00

Day Three: Wednesday, 18th November, 2020

14:0015:00

Behavioural modelling and dynamic assumptions

14:45 - 16:15

  • What are the aims and assumptions of behavioural models?
  • Regulatory considerations and compliance
  • 1st LOD steering/management – strategic business making
  • 2nd LOD risk controlling – risk appetite/limitation/stress testing
  • Coping with historic simulations and forward-looking models
Monika Bączyńska

Head of ALM

mBank

Monika Bączyńska has extensive experience in banking, starting with accounting and financial reporting functions, through controlling and risk measurement to risk management.
Currently, as a Head of Asset Liability Management at mBank, she is in charge of balance sheet management, IRRBB and funding strategy on the group level. She is responsible for strategic balance sheet planning and investment strategies as well as investment portfolio management. She is involved in capital management, financial reporting topic (IFRS9, IFRS16, hedge accounting) and FTP policy.
Before taking over ALM supervision, Monika was a Director of Analysis and Control Bureau, responsible for controlling, finance and risk functions for Financial Market Division. She served as an advisor in FX position transfer models and accounting schemes for structured products with embedded options and financial reporting related to controlled area.
Monika participated in a number of projects related to capital increase, MIS, FTP policy, capital model, liquidity risk models, stress-testing and RWA optimization.
Prior to joining mBank, she served as an auditor of financial institutions with EY and was responsible for financial instruments’ valuation, book keeping and P&L reporting at Millennium Bank.
She is a speaker at international conferences in ALM, IRRBB, FTP and modeling topics. Monika is also a trainer on those topics with over 160 attendees in the last years.
Monika is a CFA charter holder and Professional Risk Manager. She also serves as Board Member of ALM Committee at Polish Bank Association. 

15:0015:15

Break

08:30 - 09:00

15:1516:15

IRRBB and stress testing

13:00 - 14:30

  • Addressing key challenges of running stress testing exercises
  • Selection process of shock and stress scenarios
  • Reverse stress tests
  • Ensuring continuity and efficiency
  • Applying IRRBB stress testing models to other treasury stress tests
    • FTP
    • Liquidity
Roberto Virreira

Risk Director IRRBB

STATE STREET

Roberto Virreira works as Risk Director for State Street in London. Previously he was in charge of redesigning the IRRBB framework of Standard Chartered Group, and was in charge of Group HSBC IRRBB reporting and IRRBB stress test methodologies. He was Head of ALM and BSM with Bank of America in Latin America, and worked in consulting projects for several other global and regional banking organisations.

Roberto participated actively in the review, discussion and feedback of BCBS 368 with several banking associations including BBA, EBF and IIF. He has published articles on IRRBB on the Journal of Risk Management in Financial Institutions and Written a chapter in the second edition of The hand Book of ALM edited by Risk Books. He has chaired IRRBB conferences in New York, London and has been a speaker in several courses and seminars in Europe and Asia.

Roberto is an Industrial engineer, holds a Msc. in Economics and an MBA from Warwick Business School.

16:1516:15

End of day three

08:30 - 09:00

Day Four: Thursday, 19th November, 2020

14:0015:00

Model complexities and hedging strategies in IRRBB

10:45 - 12:00

  • Simplistic robust model’s vs adaptable complex models
  • Dynamic balance sheet challenges
  • Hedging open behaviourally (embedded option) modelled risks
  • Complex behavioural model effect on hedging
  • Structural hedging of non-maturity deposits
Itziar Sola Arriezu

Vice president

MUFG

15:0015:15

Break

08:30 - 09:00

15:1516:15

Handling the Ibor transition and IRRBB

14:45 - 16:15

  • Earnings and capital risks
  • Options risk
    • Fallback option
    • Early redemption option
  • Basis risk
  • How to model and hedge SFR
  • Essential planning for the transition
  • Resource management – using cross dependencies
Yousef Ghazi-Tabatabai

Associate director

PwC

Yousef is a PwC specialist leading on FTP, IRRBB and ALM within the Banking industry. He has worked with a variety of banks across Europe, including major globally significant institutions as well as smaller regional firms, supporting all three lines of defence. Yousef has an industry background in ALM and behavioural modelling from his work as a quant in Barclays, and in structuring balance sheet hedges for financial institutions at Morgan Stanley. Yousef has also spent a number of years in theoretical physics research

16:1516:15

End of day course

16:15 - 16:16