Advanced Interest Rate Risk Management 2019 | Risk.net | 11 March 2019 | Amba Hotel, Strand, Charing Cross, London, WC2N 5HX

What will you learn?
• Best practice approaches to evaluating and setting IRRBB governance programmes and revising the target operating model
• Examples for limit systems and how to hedge and steer the balance sheet
• Different model types and how to hedge these
• Regulatory considerations for behavioural modelling and strategies for forward looking models
• Considerations for stress testing within the ICAAP and how to design and implement various stress testing methodologies
• Regulatory implications for IRRBB including IFRS 9 and the new expected pillar 3 disclosure requirements

Who should attend?
Relevant departments may include but are not limited to:
• Liquidity Risk
• Market Risk
• Interest Rate Risk
• Treasury
• Asset Liability Management
• Balance Sheet Management
• Regulation

Course highlights:
• IRRBB: Regulation and measurement
• Governance
• IRRBB: Setting up limits and managing the balance sheet accordingly
• Various model complexities and hedging strategies
• Behavioural modelling
• Stress testing
• IRRBB business challenges
• Group exercise – How to integrate/co-align IRRBB with other frameworks
• IRRBB: accounting and reporting

2019 Speakers

Thomas Ribarits
Head of Financial Risk Department, European Investment Bank

Frank Mulder
Head Interest Rate Risk Steering & Strategy, Rabobank

Roberto Virreira
Risk Director IRRBB, STATE STREET

Thomas Steiner
Partner, BearingPoint

Pasquale Costa
Bank Sector Analyst, European Banking Authority (EBA)

Sophie He
Manager, ALM & Treasury Risk Management, Prometeia

Mike Dunkley
Head of ALM, Leeds Building Society

Daniel Almehed
Senior Business Advisor, BearingPoint