Interest Rate Risk in the Banking Book

The course will be taught in a classroom based format with a variety of professionals from the industry including, the Federal Reserve Bank, US Bank, GE Capital and SunTrust.

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Interest Rate Risk in the Banking Book

February 28th - 1st March


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The Basel Committee issued revised standards for interest rate risk in the banking book in April 2016 and in 2018 they will expect organisations to be compliant. The first day will look at the complexity of IRRBB including sessions focusing on IRR metrics, risk appetite and designing scenarios and sensitivity analysis. The second day will look at behavioural modelling, funds transfer pricing and data systems and their challenges in relation to IRRBB.

The course will be taught in a classroom based format with a variety of professionals from the industry including, the Federal Reserve Bank, US Bank, GE Capital and SunTrust.

Meet the Speakers

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Michael Gude

ALM analyst, cfa

SunTrust

Lindsay Steedman,

Senior Supervisory Financial Analyst

Federal Reserve Board

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Yujush Saksena

Managing director, treasury risk

BNY Mellon

Steve Scott

Head of Interest Rate Risk

US Bank

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Gordon Liu

Executive vice president, US head of global risk analytics

HSBC

Gordon is Managing Director, Regional Head of Global Risk Analytics at HSBC. He is responsible for the development and implementation of models used for calculating wholesale credit, market and counterparty credit risk metrics, anti-money laundering, and operational risk analytics in the region. He is also responsible for interacting with regulatory agencies to ensure HSBC’s compliance in quantitative aspects with the relevant regulations.
Gordon received a PhD in electrical and systems engineering from University of Connecticut and his undergraduate and master degrees from Huazhong University of Science and Technology, Wuhan, China.

Aico van Nunen

Director, Market Risk

BMO Financial Group

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Dan Delean

Independent Bank Advisor

Dan Delean

Independent Bank Advisor

Innovative and accomplished bank executive and adviser to major financial institutions and corporate financial teams. Extensive expertise in bank and capital markets processes, ALCO, data management, financial modeling, and risk framework design and implementation. I have also been a successful go-to resource for banks seeking to comply with MRAs\MRIAs, and various other compliance objectives around liquidity and other risk stripes. Passionate about building and adapting tools to enable better bank management and risk oversight. Areas of experience and expertise include:

Treasury and Risk | Collateral - trading and management | Bank Data Cycle | Model Risk Management| Data Governance and Cloud tech | Client Experience | Modeling Financial Performance |Capital Markets Data and Technologies | Team Leadership | Relationship Management | Framework Design | Process Innovation |Financial Institution Vendors | Mortgage Market | Hedging and Hedge A/C | Fixed Income Trading and Valuation | Lending and Deposit business | Funds Transfer Pricing & LTP | Algorithms and ML tools

Steve Hageman

Liquidity Risk Officer

Societe Generale

Steve Hageman was a Managing Director for US Liquidity Risk Management at Societe Generale, creating the Second Line Risk function for liquidity and structural risk.

Prior to that, he helped create the US Liquidity Risk Management First Line of Defense for HSBC Bank USA, and headed their US Asset Liability Management Team for their US Holding Company, including both Liquidity and Interest Rate Risk in the Banking Book. At both institutions, he created the initial Risk Appetite Limits and Reporting for Liquidity and Interest Rate Risk.

Earlier in his career, Steve worked in Transaction Banking for ABN AMRO doing market research and for HSBC Bank USA in a variety of finance roles.

Course Highlights
  • The different challenges of using the value and income approaches
  • How to derive value from risk appetite
  • Designing scenarios for scenario and sensitivity analysis
  • Organising your balance sheet and understanding funding of the banking book
  • Understanding behavioural modelling and model development for mitigating interest rate risk
  • Discussing data challenges within interest rate risk in the banking book
Who Should Attend

This course is primarily aimed at those working within interest rate risk in the banking book regulation. However Risk Training welcomes anyone who would benefit from this training. Specific job titles may include but are not limited to:

  • Chief Risk Officer
  • Head of Interest Rate Risk
  • Interest Rate Risk Manager
  • Asset-Liability Management
  • Market Risk Analyst/Manager
  • Treasury Risk Analyst/Manager
  • Stress Testing
  • Liquidity Risk
  • Head of Regulatory Reporting
  • Non-Traded Risk
Learning Outcomes

By the end of the two days, delegates will have new or improved knowledge of:

  • Insight on the capital requirements faced in the banking book as well as future implications and proposed timelines
  • Analyse the strenghts and weaknesses of the different metrics that can be used when calculating and mitigating risk
  • Understand how US banks will be affected in the future
  • Examine the need for accurate stress testing based on different severity scenarios
  • Perspective on ways to structure an economic capital model
  • Understand how data is becoming increasingly important in adding value to mitigating risk in the banking book
  • Insight into assessing strengths and weaknesses within funding of the banking book, how this is done and the impact of regulation.
Agenda
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