Meeting the EBA's IRRBB requirements

The panel

  • Luis Matias, Product lead, asset and liability management and liquidity risk, IBM
  • Simone Trentini, Head of group llquidity and financial risk, UBI
  • Adam Kot, Head of asset and liability management, Bank Pekao
  • Moderator: Joel Clark, Contributing editor, Risk.net

Regulators have issued new guidelines to address current or prospective risk to a bank’s capital and earnings, arising from adverse movements of interest rates to non-trading book activities. With the recently finalised European Banking Authority standards for Interest rate risk in the banking book, many financial institutions are struggling with the impacts of the new requirements with regard to data, sophistication of asset liability management (ALM) systems and reporting requirements.

Key topics discussed include:

    • The capacity of existing ALM tools to quickly absorb structural changes to methodologies and measure interest rate risk on tens of millions of records
    • Risk aggregation solutions to support the increased frequency and granularity of reporting and analysis
    • Integrating big data technology with risk management to address the new challenges
    • Flexible and modern risk infrastructure to provide quick responses to regulatory stress tests.
    • LinkedIn  
    • Save this article
    • Print this page  

    You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

    Sign in
    You are currently on corporate access.

    To use this feature you will need an individual account. If you have one already please sign in.

    Sign in.

    Alternatively you can request an indvidual account here: