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Event Date Mon May 17 EDT - Wed May 19 EDT (over 1 year ago)
Location Virtual
Region All

Managing the asset/liability process, modeling for interest rate risk, as well as auditing model inputs and outputs are some of the most heavily scrutinized areas financial managers face at their institutions today. Knowing how to define accurate and institution-specific assumptions and reporting accurate and informative Interest Rate Risk results is vital.

FMS has the answers. Our upcoming virtual, Comprehensive IRR from Three Perspectives: Management, Modeler, and Auditor- How to Prepare for your next IRR Exam will help you define effective ALM and IRR policies, accurately populate the model, understand the assumptions (and see the consequences of bad assumptions), define rate scenarios, perform EVE/NEV IRR simulations that will provide management with valuable information, and prepare your institution for regulatory scrutiny.

Overview of asset/liability and interest rate risk management:
• Regulatory requirements for model audits and validations, model governance, and controls
• Evaluation of the policies, inputs, data, assumptions, and requirements of an effective IRR modeling process
• Required rate scenarios (shocks, ramps, yield curves) and time frames
• Developing and defining appropriate risk/exposure limits
• Production of accurate outputs
• Characteristics of effective ALCO reporting
• Back-testing and trend analysis
• Stress testing
• Review of the biggest IRR modeling mistakes and how to avoid them
• Q&A



Deborah Donaldson
President and CEO, Alpha-Numeric Consulting, LLC

Mark Haberland
Managing Director, Darling Consulting Group