Interest Rate Risk in the Banking Book Masterclass

27 & 28 June 2018, Hong Kong

This training course will provide attendees with an in-depth understanding of the intricacies of IRRBB management, focusing on the different metrics involved and examining best practice approaches to modelling interest rate risk. The course will cover a range of key topic areas including approaches to implementing a measurement and reporting solution, addressing key challenges of running stress testing excercises and examine enhanced disclosure requirements.

Learning outcomes:

By the end of the two days, delegates will have new or improved knowledge of:

  • Key IRR challenges including behavioural assumptions, yield curve risk and basic risk
  • Approaches to modelling IRRBB
  • Current and future IRRBB governance considerations
  • Defining IRRBB risk appetite
  • Key challenges of running stress testing exercises
  • Using disclosure requirements to enhance current IRRBB practice

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