Interest rate risk modelling and IRRBB workshop

  • Treasury and capital markets risk
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Key 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

October 24, 2024

In-person. Location: Tokyo, Japan

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

Tutor:

  • Giovanni Campo, Head of asset-liability management (ALM) and liquidity risk competence line for international markets, Prometeia

View detailed agenda

Tutors

Giovanni Campo Risk Learning Faculty

Head of asset-liability management and liquidity risk competence line international markets

Prometeia

View bio

Giovanni is associate partner and head of asset liability management (ALM) and liquidity risk competence line for international markets at Prometeia. 
Subject matter expert in balance sheet management and treasury risks, he has developed a deep experience in interest rate risk of the banking book and credit spread risk of the banking book, behavioural models, fund transfer pricing and hedge accounting. 
Currently leading commercial initiatives and delivery projects of ALM and balance sheet risks solutions of the International Risk Practice.
Recent assignments include major banking groups in Germany, Luxembourg, Austria, Greece, Cyprus, Romania, Moldova and Turkey. 
 

Pre-reading materials

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Registration

October 24, 2024

In-person, Tokyo, Japan

Price

$1,799

Early-bird Price

$1,399
Ends September 20
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