Interest rate risk modelling and IRRBB workshop
View AgendaKey reasons to attend
- Learn about interest rate risk modelling complexities
- Address the relationship between interest rates and inflation
- Gain a practical perspective with a relevant case study
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About the course
This interactive in-person event will provide participants with the key tools to manage interest rate risk. Sessions will explore the regulatory landscape by deep diving into local considerations, interest rate policy implications and the current market environment. Participants will explore the fundamentals of interest rate risk modelling by learning about the complexities and assumptions of the models.
Participants will gain valuable insight into the metrics used to assess IRRBB, such as economic value and economic value of equity.
Optimising the balance sheet and the relationship with liquidity risk management will also be studied. Participants will have the opportunity to connect with the tutor and their peers through active learning, case studies and discussions.
Learning objectives
- Evaluate the challenges and impact of varying interest rates
- Assess the scope of credit spread risk in the banking book (CSRBB)
- Create an interest rate risk management strategy
- Utilise hedging strategies for mitigating risks
- Develop interest rate risk in the banking book (IRRBB) risk metrics
- Optimise balance sheets by aligning with IRRBB frameworks
Who should attend
Relevant departments may include but are not limited to:
- Interest rate modelling
- IRRBB
- Liquidity risk management
- Risk management
- Stress-testing
- Asset-liability management
- Treasury
- Funds transfer pricing
- Balance sheet management
Agenda
Sessions:
- Interest rate risk measurement
- Understanding the regulatory landscape
- Credit spread risk in the banking book (CSRBB)
- Setting limits and managing IRRBB
- Interest rate risk modelling and model complexities
- Integrated balance sheet management framework
- Case study
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- Japan’s interest rate derivatives trading and clearing on the rise
Read article | Risk.net - Foreign buyers jolt e-trading in Japan government bonds
Read article | Risk.net - Managing Japanese interest rate risk and creating trading opportunities
Read article | Risk.net
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two news articles a month.
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