DESCRIPTION
This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. The course will cover a range of key topic areas including approaches to implementing a measurement and reporting solution, addressing key challenges of running stress testing excercises and examine enhanced disclosure requirements.
OBJECTIVE
Key IRR Challenges including behavioural assumptions, yield curve risk and basic risk
Approaches to modelling IRRBB
Current and future IRRBB governance considerations
Understand the regulatory landscape including lessons from the ECB 2017 stress test
Defining IRRBB risk appetite
Using disclosure requirements to enhance current IRRBB practice
COURSE OUTLINE
Assess the IRRBB Regulatory Landscape Post-Implementation
Understand the Value and Income Metrics Approach
Identify A Risk Measure that Effectively Captures CSRBB
Examine the Evolution of IRRBB Systems and Processes
Address Key Challenges of Running Stress Testing Exercises
Industry Experts and Experienced Practitioners Make Up A Multi-Speaker Format
METHOD
Presentation
Discussion
Case study
