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5th Edition Managing Interest Rate Risk in the Banking Book

Advance your IRRBB metrics beyond the final EBA IRRBB guideline implementation through better governance structure and improved behavioural modelling techniques

24-25 June 2019
Le Palais Art Hotel, Prague, Czech Republic

Conference Workshop

Implementing an IRRBB measurement system

This workshop will enable you to understand the advanced methods to implement an IRRBB measurement system. Focusing on key components of an IRRBB platform such as data sourcing and best practice on data quality.

Workshop Moderator: Arnau Lopez Cabot, Director

Company: Principal Search Consulting

Why You Should Attend

5th Edition Managing Interest Rate Risk in the Banking Book

Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding this space for the last couple of years, with the deadline fast approaching, the importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirements through to actually having an impact on the broader governance of IRRBB across the bank. As a result, this marcus evans event will address how banks should be advancing their IRRBB metrics beyond regulation through better governance techniques and guidance for improved utility of IRRBB sensitivities while also paying attention to some of the more exciting developments in this space such as ML and AI methods for behavioural modelling of IRRBB.

Key Topics

  • State Street overview of the banking industry approach to stress testing within the IRRBB remit
  • Citi address basis risk under IRRBB
  • Intesa Sanpaolo enters discussion on how you can begin to gain clarity on credit spread risk in the banking book
  • Deutsche Bundesbank explore how machine learning for forecasting of customer behaviour can aid your IRRBB calculations
  • 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

    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.

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    Event Partners

    Practical Insights From

    Kamil Pliszka
    Bundesbank Principal, Directorate General Banking and Financial Supervision
    Deutsche Bundesbank

    Randy Ahluwalia
    Managing Director and Head of ALM, Interest Rate Risk
    BNY Mellon

    Roberto Virreira
    Risk Director IRRBB
    State Street

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

    Viktor Kotlan
    Director of Balance Sheet Management
    Ceska Sporitelna

    Sven van den Beld
    Head of Capital, Liquidity and Market Risk
    de Volksbank

    Henry Lin
    Co-Lead Europe, Middle East and Africa

    Click Here For Full Agenda

    Voice of Our Customers
    • “Great opportunity to be informed how various banks handle regulatory requirements on IRRBB and better understand various concepts of IRRBB. Excellent opportunity to also speak and network with peers” Group Treasury Asset-Liability Management, Bank of Cyprus
    • “Thanks a lot for organising this event. It was very interesting to share views on IRRBB with other banks,” Market Risk Analyst, Societe de Financement Local
    • ‘Very interesting conference to discuss common challenges, view different viewpoints and learn new topics’ Head of Non-Traded Market Risk, Nordea
    • ‘A good range of relevant IRRBB topics’ Group Head of ALM, Lloyds Banking Group
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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

    +357 22 849 404
    Fax: +357 22 849 310