This training is provided by MORS Software partner Bearning.

The implementation of the latest regulation on interest rate risk in the banking book – the IRRBB – has become a challenge for many banks. Compliance with the IRRBB requires a consistent measurement of interest rate risk and its subtypes (interest rate risk, yield curve risk, basis risk, optionality, and credit spread risk).

Content

IRR mapping and measurement

• Successful IRR measurement: FTP system and assignment, new benchmarks after cancellation of xIBOR fixings
• IRR mapping principles: standard bank products, non-maturing deposits/assets (NMD/NMA), embedded optionality decomposition (floorlets/caplets) fixed income products (bonds, swaps, …), other derivatives
• Refresher: duration, convexity, zero curve, PV01, scenario analysis, VaR, Expected shortfall – pros and cons
• Understanding the different interest risk components; measuring IRRBB risk sub-types: IR gaps and level risk, yield curve, basis, and optionality, CSRBB

Regulatory requirements and best practices:

• Overview of regulatory requirements for liquidity and interest rate risk management from Basel I to Basle III reforms
• BCBS IRRBB standards and EU revised standards (EBA GL 2018/02)
• Minimum standard for a compliant bank
• Available regulatory metrics: EaR, EV, EVE, VaR
• Effective interest risk management framework and dealing with the regulatory challenges

Balance sheet management and IRR hedging

• Balance sheet management – design and implementation of hedging strategies
• Financial market instruments for hedging of interest risks: swaps, bonds, futures options (Cap, Floor, Swaption)

Target group

• Treasury and financial market experts
• ALM, risk managers and risk controllers
• Financial professionals and experts from related areas (audit, back-office, compliance ….)