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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08:3009:30

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

09:3009:45

Break

08:30 - 09:00

09:4510:45

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

08:3009:30

IRRBB and interest rate modelling

13:00 - 14:30

  • Stochastic models  

    • Calculus and random variables 

    • One-factor vs. multi-factor short rate models 

    • Evaluating the uncertainties using stochastic models 

  • Multi-curve dynamic models

    • Full-term structure

    • Zero and forward rates

  • Expectation’s hypothesis

09:3009:45

Break

08:30 - 09:00

09:4510:45

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

08:3009:30

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

09:3009:45

Break

08:30 - 09:00

09:4510:45

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?

08:3009:30

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

09:3009:45

Break

08:30 - 09:00

09:4510:45

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