Interest Rate Risk in the Banking Book
Cost:
Members with printed material £1,270 + VAT
Members without printed material £1,220 + VAT
Non Members with printed material £1,610 + VAT
Non Members without printed material £1,560 + VAT
NOTE: The option to have printed material will NOT be available for anyone booking within one week of the start date. Please note if you choose the 'non-print' option, you will receive a link in advance of the course to download the material.
Interest Rate Risk in the Banking Book
Day 1 covers the basics of IRRBB - what it is and how typically it is managed and controlled. No prior knowledge is required or assumed. Day 2 then looks at some more advanced topics including behavioural risk, what constitutes best practice in respect of internal IRRBB governance and then considers the recently announced changes to the regulatory requirements and the impact these may have on banks.
Day 1
Fundamentals of IRRBB
Introduction to yield curve, basis and option risk
Introduction to Discounted Cash Flow (DCF)
Accrual v. Fair Value accounting
Using interest rate swaps to hedge IRRBB
Definition of the Banking Book
Principal Measures of IRRBB
Value approaches including EV, EVE and VaR
Income sensitivity approaches
Comparing value and income approaches
Treatment of commercial margin and embedded value
The role of the Treasury function in managing IRRBB
Day 2
Behavioural Risks and Structural Hedging of IRRBB
Pipeline risk
Prepayment and Early Withdrawal Risk
Non-Maturing Deposits and Margin Compression Risk
Structural Hedging of Equity and other Non-Dated Liabilities
Residual IRRBB risks including Credit Spread Risk (CSRBB)
IRRBB Regulatory Requirements and Governance
IRRBB as a Pillar 2 Risk
Basel Standards for IRRBB (2016)
EBA Guidelines (2018)
PRA Rules and Supervisory Expectations (2021)
Good governance of IRRBB - including risk appetite, challenge to assumptions, the control framework and stress testing