3rd Annual Interest Rate Risk in the Banking Book (IRRBB) Summit, London, UK

Event Page

Obtain Timely Regulatory Updates on Managing IRRBB:

  • Implications of the updated IRRBB guidelines and supervisory expectations
  • Latest information on national and EU responses
  • Evolvement of CRD and CRR
  • Pillar 2 approach and the role of the ICAAP for assessing IRRBB
  • Using the institution’s internal approach to IRRBB - why IRRBB is not suitable for standardisation
  • Outlier banks and the Standard Outlier Test
  • Implications of stress testing exercise and development of interest rate shock scenarios

Unveil the Latest Industry Responses and IRRBB Modelling Approaches:

  • Behavioural and modelling assumptions to be considered by banks
  • Segregating genuine IRRBB from CSRBB
  • Internal validation process which banks should apply to their internal measurement systems and models
  • Managing IRRBB calculations without spreading equity
  • Programming ageing ALM software with the new scenarios prescribed by the BCBS
  • Pillar III quantitative disclosure requirements

 Meet us in London

25 October 2017
The Bloomsbury Hotel, 16-22 Great Russell St, London WC1B 3NN
United Kingdom