Interest Rate Risk in the Banking Book (IRRBB) MasterClass - US edition
13-16 May, 2024
A comprehensive overview of the BCBS framework on IRRBB and implementation
This course provides a comprehensive overview of the BCBS framework and looks at implementation approaches primarily in the US but also in other jurisdictions.
13-16 May, 2024, Virtual
Starting time – EDT 08:00 a.m. | UTC 12:00 p.m. | CET 14:00 p.m.
Overview
Interest rate risk in the banking book (IRRBB) is part of the Basel capital framework under SRP – the supervisory review process. This course provides a comprehensive overview of the BCBS framework and looks at implementation approaches primarily in the US but also other jurisdictions. Discussion will be encouraged between participants on how IRRBB is implemented in their banks and the issues they face. This will be facilitated by team spreadsheet-based exercises and also role-playing exercises where time constraints and class sizes permit. We will also explore the impact of other regulations on banking book management, for example FRTB and liquidity risk management.
Since stress testing has become an important tool for risk management and a key part of the regulatory framework the course also spends time discussing the application of stress testing techniques. A particular area of focus will be on risk aggregation. We will also explore scenario analysis techniques to consider CSRBB – credit spread risk in the banking book.
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RECOMMENDATION
Who should attend?
Analysts, Vice Presidents, Directors, Senior Managers in:
• Treasury Functions
• Capital Management
• Regulatory Compliance
• Governance
• Audit
• Risk Analytics
• Market Risk Management
About GLC
Global Leadership Conferences began as an ambitious dream by three founders ten years ago. Today it’s an international series of interactive events, exploring the hottest topics in critical fields. Each year, thousands of professionals join us to challenge the status quo and learn innovative ways to create new solutions in Finance, Pharmaceutical, HR, Health & Safety, and Energy.
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