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Managing Interest Rate Risk in the Banking Book

A deep dive into the implementation and governance of the IRRBB in light of regulatory and economic developments

22-23 June 2017
Hilton Canary Wharf, London, United Kingdom

Conference Workshop

Title IRRBB governance: Engaging the Board and senior management

The second line of defence: Govern internal models to achieve accurate IRRBB measurements

Workshop Moderator: Patricia White, Treasury Risk Training Consultant Formerly Group Head of IRRBB and Liquidity Risk

Company: Standard Chartered Bank


Why You Should Attend

Managing Interest Rate Risk in the Banking Book

In the recent years a period of prolonged low interest rates combined with the after effects of the financial crisis have resulted in a revision of the standards for IRRBB by the Basel Committee on Banking Supervision. In turn, banks are facing regulatory pressure from the BCBS and independent regulatory bodies to comply with the new framework regarding governance, methods and models used to calculate IRRBB. This marcus evans conference will address how the IRRBB regulation is pushing banks to manage interest rate risk and enforcing change in a number of areas. In particular, the conference will unpack the new methods used to calculate IRRBB and the impact of having standardised disclosures. It will also address the effect of the changing economic environment on interest rate risk and discuss what is expected to come from the EU regulators in regards to the IRRBB.

 


Key Topics

  • Interpret and implement the IRRBB regulation, addressing particular challenges such as the standardised disclosures, stress testing and shock scenarios
  • Best practices to modelling assumptions for non-maturing deposits and client behaviour
  • Apply strategic approaches to EBA’s evolving requirements of IRRBB and assess alongside Basel IRRBB
  • Establish the consequences of a changing economic climate on managing interest rate risk
  • Examine IRRBB in the context of other risk regulations such as the FRTB
  • Previous Attendees Include

    • AFME
    • ABN Amro Bank
    • Banco Espirito Santo
    • Bank of England
    • Bank of Ireland
    • Barclays Bank
    • BNP Paribas
    • Ceska Sporitelina AS
    • Citigroup
    • Commonwealth Bank of Australia
    • Credit Agricole
    • Credit Suisse
    • Credito Trevigiano
    • Danske Bank
    • Deloitte
    • Deutsche Bank
    • DZ Bank
    • Erste Group Bank AG
    • HSBC
    • ING
    • Intesa Sanpaolo
    • ISDA
    • JP Morgan
    • Lloyds Bank Commercial Banking
    • Mizuho International
    • Morgan Stanley
    • Natixis CSP Fournisseurs
    • Nomura International
    • Nordea
    • PWC
    • Santander
    • VTB Capital
    • and many more..


    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.




    Event Partners


    Practical Insights From

    Daniel Foos
    Head of Risk Modelling and Model- Based Analysis
    Deutsche Bundesbank

    Bruce Forrest
    Managing Director, Head of Banking Book and Treasury Risk
    UBS

    Simon Hills
    Executive Director
    British Banks Association

    Philippe Mangold
    Head Treasury and Liquidity Risk Management IWM division and Head of Office
    Credit Suisse

    Chris Hunter
    Head of IRRBB
    Lloyds Banking Group

    Rune Larsen
    Head of IRRBB and Liquidity Analytics
    Nordea

    Roberto Virreira
    Manager of IRRBB Policy
    Standard Chartered

    Eleftherios Lazaris
    Market Risk Senior Manager, G10 Markets Treasury Risk Management
    Citi

    Click Here For Full Agenda

    Voice of Our Customers
    • “Excellent Conference “, UBS
    • “For a first time attendant this was a very useful forum to hear from market practitioners”, Senior Manager, Risk Analytics, Genpact
    • “Great event!” Stress Testing Manager, Union Bank
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Yiota Andreou


    marcus evans (Europe) Ltd
    PO Box 24797
    Cyprus

    Telephone:
    +357 22 849 404
    Fax: +357 22 849 310
    Email: YiotaA@marcusevanscy.com