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 exercises and examine enhanced disclosure requirements.
Interest Rate Risk
in the
Banking Book Masterclass
27 & 28 June 2018, Park Lane Hong Kong
About The Training Course
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 exercises 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
