Learning outcomes
Training Description
Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under Pillar 2 and principles for the management and supervision of interest rate risk were set out in 2004 by the BCBS. Following consultation during 2015, BCBS published revised principles (D368) in April 2016, to reflect changes in market and supervisory practices.
The course has three main objectives:
• To provide a comprehensive overview of the new standards presented in BCBS paper D368 and compare them with existing requirements set out in 2004 and requirements set out by the EBA.
• Provide a refresher course to participants in the necessary mathematics required to construct zero curves, obtain discount factors and compute EVE and NII. This will involve numerical examples and case studies including constructing a regulatory report based on the standardised framework proposed in D368. A role-playing exercise will be used to practice engagement with a regulator, defending assumptions and responding to likely regulatory challenge.
• Look at the interaction of banking book interest rate risk with other areas of regulation, for example covering topics such as risk transfer, fund transfer pricing, liquidity risk capture in FRTB and interac- tions between the banking book and the trading book.
Those with less quantitative backgrounds should not be discouraged by the mathematical content. Spread sheet examples will be provided with all data and formulae that will allow all participants to engage in ‘whatif’ scenarios to gain a feel for how different assumptions can affect the results in regulatory reports and the likely challenges. Participants will be invited to work in groups to prepare a report based on their own assumptions and a role-playing session will be used to give participants experience of a meeting with regulators to review their submissions.
Training Schedule
Day one
08:30 Registration and Welcome Coffee
08:50 Opening Remarks & Introduction from the Trainer
09:00 Introduction
10:30 Tea, Coffee, Networking
10:50 Refresher 1
11:50 Draft Revised CRD and CRR
13:00 Luncheon & Networking
14:00 BCBS D368
15:10 Tea, Coffee, Networking
15:30 Refresher 2
16:30 BCBS D368 – The standardised Framework
17:30 Q&A and Feedback
18:00 End of DAY1
Day two
08:30 Tea, Coffee & Networking
08:50 Recap from DAY1
09:00 Calculation of the standardised EVE risk measure and NII
10:30 Tea, Coffee, Networking
10:50 Managing Interest Rate Risk
12:30 Luncheon & Networking
13:30 Comparison with revised market risk rules for the trading book (FRTB BCBS D352)
15:10 Tea, Coffee, Networking
15:30 Backtesting and model validation
16:00 Stress Testing
16:45 Related Topics
17:30 Workshop summary and Q&A
17:45 End of DAY2
Training Program
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Get to know the Expert Trainer
Gary Dunn started out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager within UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fixed income portfolio managers and the FX desks.
Gary ventured into the private sector where he spent a further10 years as a proprietary trader. Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and otherspectral risk measures which contributed to a review of the academic literature on market risk measures, the first in a long series of FRTB papers from BCBS and industry. Then, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analyticsfor the EMEA region.
Now Gary works as a private consultant (Senior Adviser at Avantage Reply) and trainer.
Who should attend?
C-level Executives, Presidents/VPs/EVPs/FVPs/SVPs, Global Heads, Department Heads, Managing Directors, Directors, International/Senior Managers, Managers, Analyst, Officer OF:
- Banking Book Risk
- Banking Investment Book
- Basel
- Capital Management
- Change management
- Governance
- Interest Rate Risk
- Internal Audit
- IRRBB Policy
- IRRBB Program
- Liquidity Risk
- Market Risk Management
- Model Validation
- Regulatory change management
- Regulatory Compliance
- Risk
- Risk Analytics
- Risk management
- Treasury
- Treasury risk
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FAQ
The client has the right to cancel his/her registration in the event.
There is a 50% liability on all conference registrations once made, whether the booking was made through our website or via e–mail/ telephone/ fax.
If the client cancels with more than 8 weeks’s advance notice, GLC shall be entitled to an amount equivalent to 50% of the conference fee and 16 EUR administration charge. In case the client has already made his/her payment, this will be deducted from the conference fee GLC has already received and the remainder will be refunded. If no conference fee has been received prior to the cancellation request, GLC will issue an invoice for the cancellation fee (the amount equivalent to 50% of the conference fee and 16 EUR administration charge), which the client must pay immediately upon receipt. No refunds are available for cancellations received with 8 week’s (or less) advance notice or in case the client fails to attend the conference. In these cases, the full amount of the conference fee must be paid.
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Many people are afraid to request for training budget, because they can’t seem to find the “perfect time” to do it. Well, there’s no perfect time to ask for it, but there are definitely some moments that are better than others. For instance, if your boss is about to take a two week vacation, he/she might be in a good mood. If he/she just lost a major account, may not be wise at that juncture. - Make a case for yourself
When you ask for budget, you should be prepared with specific details and explanations about what is in it for the company and you’re superior. If you go into a meeting and just say, “I want to get budget for a conference,” it’s likely that your request won’t be taken seriously. If you want to plan ahead, then you should be prepared to explain the following points:
1. Start by stating your accomplishments
2. Show that you’re ready for more responsibility and eager to learn
3. Describe:
a) How this event will increase your productivity?
b) How you will need less supervision
c) How you can bring back the knowledge to the company
4. Follow up