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Managing Interest Rate Risk in the Banking Book

marcus evans

22 Jun 2017 - 23 Jun 2017


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A deep dive into the implementation and governance of the IRRBB in light of regulatory and economic developments

Why You Should Attend

In the recent years a period of prolonged low interest rates combined with the after effects of the financial crisis have resulted in a revision of the standards for IRRBB by the Basel Committee on Banking Supervision. In turn, banks are facing regulatory pressure from the BCBS and independent regulatory bodies to comply with the new framework regarding governance, methods and models used to calculate IRRBB. This marcus evansconference will address how the IRRBB regulation is pushing banks to manage interest rate risk and enforcing change in a number of areas. In particular, the conference will unpack the new methods used to calculate IRRBB and the impact of having standardised disclosures. It will also address the effect of the changing economic environment on interest rate risk and discuss what is expected to come from the EU regulators in regards to the IRRBB.

Key Topics

Interpret and implement the IRRBB regulation, addressing particular challenges such as the standardised disclosures
Best practices for modelling assumptions for non-maturing deposits and client behaviour
Strategic approaches to the evolving requirements of IRRBB from EBA and assessing the European guidelines alongside Basel IRRBB
Impact of a changing interest rate environment on interest rate risk
Assess IRRBB in the context of other risk regulations such as the FRTB

Practical Insights From
Daniel Foos
Head of Risk Modelling and Director Model-Based Analysis
Deutsche Bundesbank

Chris Hunter
Head of IRRBB
Lloyds Banking Group
Roberto Virreria
Manager of IRRBB Policy
Standard Chartered

Simon Hills
Executive Director
British Banks Association
Bruce Forrest
Managing Director, Head of Banking Book, Treasury Risk

Thomas Ralph
Head of Treasury Risk
Metro Bank

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