Interest rate risk modelling & IRRBB

  • 3 days
  • Treasury & capital markets risk
  • 8 CPD points
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Key reasons to attend

  • Learn about the dynamic balance sheet challenges 

  • Understand the best practices to create an IRR strategy 

  • Identify the effect of the sharp increase in rates  

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Customised solutions

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Working with the portfolio of expert tutors and Risk.net’s editorial team, we can develop and deliver a customised learning to make the most impact for your team, from initial assessment to final review. 

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About the course


Join 2023 course at 2022 price

Register by December 31, 2022


Recent increased market volatility is testing the implementation of IRRBB frameworks. During this event, expert practitioners will discuss diverse methods of interest rate modelling and behavioural modelling. Delegates will gain insight into the latest technologies being applied in banking to mitigate IRRBB risk management, such as machine learning and AI

Key sessions will explore the impact of geopolitical events on interest rates. As well as, what hedging strategies are being applied to mitigate these risks and address these challenges.   

Join us to develop your knowledge on interest rate risk through interactive presentations, discussions, and engaging Q&A with our expert tutors.  

Learning objectives

  • Evaluate IRRBB governance frameworks 

  • Apply machine learning mechanisms in risk management  

  • Asses the appropriate hedging strategies for mitigating risks 

  • Examine the effects of the unpredictable rate changes  

  • Implement stochastic and multi-curve dynamic models 

  • Investigate the impact and challenges of rate changes 

Who should attend

Relevant departments may include but are not limited to:

  • Interest rate modelling 

  • Balance sheet management  

  • Liquidity risk 

  • Risk management  

  • Governance  

  • AI 

  • Machine Learning 

  • Interest rate modelling 

Agenda

March 27–29, 2023

Time zones: Emea / Americas 

Sessions:

  • Defining interest rate risk and IRRBB governance 

  • Establishing limits and managing the balance sheet in IRRBB 

  • IRRBB and interest rate modelling 

  • Behavioural modelling and dynamic assumptions 

  • The impact of AI on interest rate risk 

  • Hedging strategies and various model complexities

  • Managing deposit beta 

  • Impact of rate changes and additional challenges  

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September 18-20, 2023

Time zones: EMEA / APAC
Start time: 7.15 GMT / 16.15 HKT/SGT
Finish time: 9.45 GMT / 18.45 HKT/SGT

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Accreditation

This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.

Pre-reading materials

The Risk.net resources below have been selected to enhance your learning experience:

  • Modeling nonmaturing deposits: a framework for interest and liquidity risk management - Read article

  • Hong Kong banks await guidance on IRRBB for risk-free rates - Read article

  • Adapting to the new normal - Read article

To access some of the above articles you need to have a current subscription to Risk.net. If you don’t have one now, please subscribe to a free trial

Registration

March 27 - 29, 2023

02:00 pm - 05:00 pm

Virtual

Price

$2,199

Earlybird Price

$1,799

September 18 - 20, 2023

07:30 am - 09:45 am

Virtual

Price

$2,199

Earlybird Price

$1,799
Book now

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  • Agenda and registration process
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  • Customisation of this programme
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