Name: IRRBB Hong Kong
Start: 2018-08-26T17:00:00+01:00
End: 2018-08-27T17:00:00+01:00
Location: Park Lane Hong Kong

An event hosted by:

27 & 28 June 2018

Park Lane Hong Kong

08:30	Registration
09:00	Overview of regulatory landscape IRRBB in Basel context: what makes it special? Characteristics of local IRRBB implementation in Hong Kong: New six scenarios to measure changes of the EVE Six standardised shock scenarios Treatment of special positions Why no models? Dr Martin Sprenger, Head (Research and Development Unit), Banking Policy Department, HKMA
10:00	Morning Coffee Break
10:30	IRR challenges Modelling assumptions Automatic interest rate options Behavioural models Assessing different types of risk - Yield curve, basis, etc. Credit spread risk Identification of interest rate sensitive items Jeff Lee, Senior Manager, PWC
11:30	Lunch
12:30	Value and income metrics compared Distinction between banking and trading books Strengths and weaknesses of the value approach Strengths and weaknesses of the income approach What 'best practice' looks like Matthieu Sachot, Director, CHAPPUIS HALDER & CO.
14:00	Afternoon Coffee Break
14:30	IRRBB measurement Webex by Dr Michael Eichorn, Group CIO, CREDIT SUISSE
15:30	Wrap up session hosted by PWC Moderator: Philip Chan, Manager, PWC Speakers: Jeff Lee, Senior Manager, PWC Dr. Marcel Bluhm, Manager, Research and Development Unit, Banking Policy Department, HKMA
16:30	End of Day 1

08:30	Registration
09:00	Current and future issues in IRRBB governance Evaluating and setting up your IRRBB governance Governance of changing and operating the IRRBB setup Management of assumptions and internal validation IRRBB risk appetite and capital Roberto Virreira, Risk Director IRRBB, STATE STREET
10:30	Morning Coffee Break
11:00	Stress testing Selection process of shock and stress scenarios Reverse stress tests Addressing key challenges of running stress testing exercises Internal stress-testing scenarios approach Regulatory deadlines and imperatives Roberto Virreira, Risk Director IRRBB, STATE STREET
12:30	Lunch
13:30	Behavioural modelling and IRR Behavioural modelling assumptions Approaches to modelling deposits Economic metrics Methods for calculating EvE and NII What does it mean in terms of timeframes Data requirements and sophistication required Roberto Virreira, Risk Director IRRBB, STATE STREET
15:00	Afternoon Coffee Break
15:30	Wrap up session Roberto Virreira, Risk Director IRRBB, STATE STREET
16:30	End of Training Course

Programme