IRRBB Agenda

IRRBB Agenda

Interest Rate Risk in the Banking Book

Day 1 - Tuesday 6 November

16.00-18.00

Check-In 

Please arrive from 4pm where you will be greeted by a member of the Risk Training team. There will be time to check into your room before joining your fellow attendees for dinner and drinks. 

18.00

Welcoming Drinks

19.00

Networking Dinner and Keynote Speech:

Opening remarks delivered by Benjamin Cohen, on the topic of 'Global Liquidity and Funding Liquidity'. 

Benjamin Cohen
Benjamin Cohen

Head of Financial Markets

Bank for International Settlements (BIS)

Benjamin H Cohen is Head of Financial Markets at the Bank for International Settlements (BIS) in Basel, Switzerland. In this role he supervises a team of economists at the BIS and serves as editor of the BIS Quarterly Review. Previously he was Special Adviser for International Financial Stability Policy, responsible for coordinating the BIS role in the FSB and G20 processes. He has also held positions in the secretariat of the Financial Stability Board, the Independent Evaluation Office of the International Monetary Fund, the secretariat of the Committee on the Global Financial System and as a senior economist in the research function of the BIS. In these roles he has served as secretary for a number of working groups and task forces, including the Macroeconomic Assessment Group (a multi-national research project on the macroeconomic impact of the Basel III capital framework), the FSB’s Analytical Group on Vulnerabilities, and CGFS Working Groups on stress testing, market liquidity, financial market turbulence and derivatives market statistics. His research interests include the consequences of expected credit loss provisioning for bank lending; the impact of regulation on banks, financial markets and the economy; the structure and role of the shadow banking system; the study of volatility and liquidity in financial markets; and the causes and consequences of financial crises. He holds a PhD in Economics from the Massachusetts Institute of Technology and an AB in Social Studies from Harvard University.

Day 2 - Wednesday 7 November

Training course chaired by Thomas Steiner FRM, Partner, BearingPoint

08:30

Refreshments

09:00

IRRBB: Measurement, capital requirements and regulatory landscape

  • Measuring IRBB: Typical metrics employed
  • Distinction between banking and trading books
  • Strengths and weaknesses of the value approach
  • Strengths and weaknesses of the income approach
  • Challenges in IRRBB measuring and market practice
  • Capital requirements for IRRBB
  • Regulatory requirements: Basel Committee, EBA and PRA

Enrique Benito, Senior Manager, Deloitte

10:30

Morning Break

11:00

Managing IRRBB – The tension field of EVE, NII and accounting view

  • Goals for IRRBB management
  • Management philosophies
  • Limit systems
  • Hedging and steering
  • IRRBB in the context of broader balance sheet management activities

Arvind Sarin, Partner, KPMG

12:30

Lunch

13:30

IRR challenges

  • Conditional Models
  • Optionality Treatment. Explicit and implicit options in the balance sheet.
  • Credit spread risk – Identifying a risk measure that effectively captures CSRBB
  • Non maturity Deposits. Migration Risk
  • AI Models. What could be the future for behavioural modelling?

Raquel Bujalance, Head of ALM Models, Methodology, Banco Santander

15:00

Afternoon Break

15:30

Stress testing

  • Results from the 2017 ECB stress test on IRRBB
  • Selection of stress scenarios
  • Insights into risk management practices
  • Relevance of lessons learnt of IRRBB ST in the light of new EBA GL

Maurizio Garro, Senior Audit Manager, Lloyds Banking Group

17:00

End of Day Two

Day 3 - Thursday 8 November

Training course chaired by Thomas Steiner FRM, Partner, BearingPoint

08:30

Refreshments

09:00

Current and future issues in IRRBB governance 

  • Evaluating and setting up your IRRBB governance 
  • Governance of changing and operating the IRRBB setup
  • Management of assumptions and internal validation 
  • IRRBB risk appetite and capital 

Michael Eichhorn, Global Treasury CRO, Credit Suisse

10:30

Morning Break

11:00

Key Success Factors for an Effective IRRBB Measurement Solution

  • Adopting a trading book mentality and rigour to banking book world Data consistency across both EaR & EVE
  • Front to back alignment from Corporate Planning to Financial Modelling & Reporting
  • Adherence to BCBS 239 standards for completeness, accuracy and timeliness
  • Challenges for global organisations to meet regional needs

Noel O'Mahony, Programme Director, Risk Change, Deutsche Bank

12:30

Lunch

13:30

Panel discussion: Behavioural modelling and IRR

This session will bring together participants from both streams of the course to discuss some of the most pressing issues surrounding behavioural modelling

  • Behavioural modelling assumptions
  • Current low/negative EUR rates and consequences
  • Approaches to modelling deposits
  • Economic metrics
  • Data requirements and sophisticated required
  • Business model impact of the IRRBB regulations
  • Managing IRRBB in practice

John Bowyer, Head of Group ALM, Lloyds Banking Group

Roland Klimesch, Head of Group Liquidity and Market Risk Management, Erste Group Bank AG

Samantha Halstead, Senior Manager, Financial Model Risk Oversight, TSB

Moderator: Thomas Steiner FRM, Partner, BearingPoint

15:00

End of Course